Abstract
Taking Shanghai and Shenzhen A stock listed companies as a sample, this paper uses the event research method to test the effect of financing constraints and stock price crash risk on the cumulative excess return (CAR) of enterprises under the impact of the epidemic situation. The results show that the risk of stock price collapse plays a negative role in the transmission channel of the impact of the new crown epidemic on the enterprise's cumulative excess return, and the financing constraint intensifies the negative effect. Further, the heterogeneity analysis based on firm size and ownership found that in SMEs and non-state-owned enterprises, the effect of increased financing constraints is more significant Is significant. Finally, this paper puts forward some suggestions from the perspective of relevant regulatory departments and enterprises themselves.
Highlights
The risk of stock price collapse is an eternal topic in the capital market, and people's attention to the risk of stock price collapse has a long history, whether in theoretical research or in practice. previous studies, stock price collapse as an important economic consequence of financial markets has been extensively explored. existing studies are mainly discussed from management characteristics [1], equity structure [2], accounting information quality [3] (Kim et al.,2014), tax avoidance [4]
The hypothesis of this paper is to explore the actual rate of return after the outbreak and the theoretical rate of return estimated by the model used to assume that the epidemic did not occur, according to the difference between the cumulative excess return of enterprises, The following assumptions are made: H1: negative impact of the risk of stock price crash on the cumulative excess return H2: financing constraints aggravate the negative impact of the risk of stock price collapse on the cumulative excess return of the enterprise H3: small and medium-sized enterprises: financing constraints significantly exacerbated the negative impact of the risk of stock price collapse on the cumulative excess return of enterprises
CARi =β0 +β1NCSKEWi +β2NCSKEWi*WWi +β3DARi +β4FARi +β5ROAi +β6Lnsizei +β7Lnagei +u i Of which, We use the event research method to test the response of the financial stock market to the new crown epidemic
Summary
The risk of stock price collapse is an eternal topic in the capital market, and people's attention to the risk of stock price collapse has a long history, whether in theoretical research or in practice. previous studies, stock price collapse as an important economic consequence of financial markets has been extensively explored. existing studies are mainly discussed from management characteristics [1] (li xiaorong ,2012), equity structure [2] (wang huacheng ,2015), accounting information quality [3] (Kim et al.,2014), tax avoidance [4] (jiang xuanyu ,2013). Previous studies, stock price collapse as an important economic consequence of financial markets has been extensively explored. In the market economy environment, financing constraint will increase the operating risk faced by enterprises, which is called "financing constraint risk "(Whited &Wu,2006). Because of the information asymmetry, external investors will take the announcement of financing constraints made by business operators as a signal for enterprises to transmit to the external market. When enterprises are faced with financing constraints, due to the information transmitted to the outside world and the increase of risk premium, the stock price fluctuation of enterprises will increase, exacerbating the market volatility. This paper studies the story mechanism between financing constraints, the risk of stock price collapse and the impact of the new crown pneumonia epidemic, in order to obtain useful empirical evidence
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