Journal of Banking & Finance ·Vol.74,MARCH 2017

信任与股价崩盘风险——来自中国的证据

作者：Xiaorong Li (School of Public Finance and Taxation, Central University of Finance and Economics), Steven Shuye Wang (School of Business, Renmin University of China), Xue Wang (School of Business, Renmin University of China)

摘要：本文考察了社会信任对股价崩盘风险的影响。社会信任衡量了社会成员之间的相互信任水平。我们使用了2001-2015年中国上市公司的大样本数据进行研究，发现总部设在社会信任较高地区的公司往往有较小的崩盘风险。这个结果对于一系列的敏感性测试是稳健的，并且对于国有企业、监管较弱的公司和风险承担较高的公司更为突出。此外，我们还观察到高社会信任地区的公司往往与更高的会计稳健性和更少的财务重述相关联。我们的研究表明社会信任是一个重要的变量，但它往往在研究股票价格崩盘的预测因素的文献中被忽略。

关键词：崩盘风险，社会信任，代理理论

Trust and stock price crash risk: Evidence from China

Xiaorong Li(School of Public Finance and Taxation, Central University of Finance and Economics, Beijing, China), Steven Shuye Wang(School of Business, Renmin University of China, China), Xue Wang(School of Business, Renmin University of China, China)

ABSTRACT

This paper examines the impact of social trust on stock price crash risk. Social trust measures the level of mutual trust among the members of a society. Using a large sample of Chinese listed firms for the 2001–2015 period, we find that firms headquartered in regions of high social trust tend to have smaller crash risks. This result is robust to a battery of sensitivity tests and is more prominent for State-Owned Enterprises (SOEs), for firms with weak monitoring, and for firms with higher risk-taking. Moreover, we observe that firms in regions of high social trust are associated with higher accounting conservatism and fewer financial restatements. Our study suggests that social trust is an important variable that is omitted in the literature investigating the predictors of stock price crashes.

Keywords: Crash risk, Social trust, Agency theory

原文链接：http://www.sciencedirect.com/science/article/pii/S0378426616302448

翻译：贾梦悦