是谁影响了股价下行风险:有形信息VS无形信息

What has Influenced the Risk of Stock Price Crashes:Tangible Information vs Intangible Information

股价下行作为资本市场的普遍现象,在极端情况下会对投资者财富和公司声誉造成巨大冲击,因此受到学界、业界和监管层的高度关注。本文选取2007-2016年我国A股上市公司股票为样本,研究了不同信息对股价下行风险的影响,在此基础上考察了过度自信和损失厌恶两种不同的投资者行为是否会影响信息与股价下行风险之间的关系。研究发现:(1)有形信息显著降低了股价下行风险,而无形信息对股价下行风险的影响并不显著;(2)投资者的过度自信水平越高,有形信息与股价下行风险的负向关系越弱;(3)投资者的损失厌恶程度越高,有形信息与股价下行风险的负向关系越强。本文的研究不仅为投资者的投资决策提供了一个良好的风险管理思路,也为监管层的政策制定提供了相关的理论依据。

As a common phenomenon in the capital market,stock price crash will have an enormous shock to investors’ wealth and companies’ reputation in extreme cases,so it has been paid great attention by academia,industry fields and regulators.This paper takes the stocks of A-share listed companies in China from 2007 to2016 as samples and studies the impact of different information on the risk of stock price crash.On this basis,we examine two different types of investor behavior,namely,whether overconfidence and loss aversion affect the relationship between information and the risk of stock price crash.The results show that:(1) Tangible information significantly reduces the risk of stock price crash,while intangible information has no significant impact on the risk of stock price crash;(2) The higher the degree of investors’ overconfidence,the weaker the negative relationship between the tangible information and the risk of stock price crash;(3) The higher the degree of investors’ loss aversion,the stronger the negative relationship between tangible information and the risk of stock price crash.This research not only provides a good idea of risk management for investors’ investment decision,but also provides a relevant theoretical basis for regulators’ policy making.