股价崩盘风险预期与企业债务成本

The Expectation of Crash Risk and Costs of Debt

目前，关于股价崩盘风险经济后果的研究比较匮乏。本文研究股价崩盘风险预期是否影响企业债务成本，研究发现：在控制了其他影响企业债务成本的因素后，上市公司股价崩盘风险预期越高，企业债务成本越高，表明债权人可能利用上市公司股价崩盘风险蕴含的信息进行决策。进一步地，在公司治理机制不完善、外部监督较弱及金融市场处于“熊市”时，股价崩盘风险对企业债务成本的提升作用更为明显。总的来说，本文从经济后果的角度提供了股价崩盘风险向债权人传递信号、进而提升企业债务成本的经验证据，丰富了股价崩盘风险和企业债务成本两个领域的研究。

The current literature on crash risk have limited insight into the economic consequences of crash risk. This paper studies whether the crash risk expectation influences the firm＇s costs of debt. We find that, the higher expectation of crash risk, the higher the costs of debt after controlling other factors that may affect the debt costs. This finding means that the debt holders may use the information contained in crash risk to help their loan decisions. Further, in firms with weak corporate governance, weak monitor by outsiders and in beer market, the positive correlation between crash risk and debt costs behaves more salient. Overall, this paper shows that the crash risk is informative and can help debt holders better make their loan decisions. Our paper enriches the literature both on crash risk and costs of debt.