企业“脱实向虚”与金融市场稳定--基于股价崩盘风险的视角

The Effect of Transforming the Economy from Substantial to Fictitiouson Financial Market Stability: An Analysis on Stock Price Crash Risk

近年来,经济中出现的"脱实向虚"问题引起了政府和学术界的广泛关注。本文从企业金融投资如何影响股价崩盘风险的视角,研究了企业"脱实向虚"对金融市场稳定的影响。通过构建一个包含市场、公司和经理人的三期博弈模型,本文发现,上市公司为了隐藏负面信息而持有金融资产会提升企业股价崩盘的概率。基于沪深两市A股上市公司样本的实证分析验证了理论模型的结论。平均而言,企业金融投资每增加1个标准差,未来一期的股价崩盘风险约增加5.5%个标准差。进一步的研究表明,金融投资水平越高的企业与外界的信息不对称程度也越高。金融投资与股价崩盘风险之间的正相关关系在经营风险更高、内部人受监督程度更低的企业中更为显著。本文的发现揭示出了经济"脱实向虚"引起系统性金融风险的一条路径。

In China's new normal economy,firms find difficulties in gaining handsome returns from real business.As a consequence,the whole economic activities exhibit a trend of transforming from substantial to fictitious.This phenomena has aroused wide concerns around government regulators,academia and market practitioners as well.At the micro-firm level,the transformation of the economic activities from substantial to fictitious largely refers to that many Chinese non-financial firms invest heavily in non-cash financial assets with excess volatility and highly riskiness.This can create short-term profits for the firms,but may impede economic growth and expose the overall economy to higher risk.In this article,we assess the impact of economic activities transforming from substantial to fictitious on capital market stability.Specifically,we focus on the effect of firm-level financialization on stock price pattern.We predict that with increasing difficulty in obtaining high return from real investment,corporate managers have strong incentive to engage in more financial investments to realize high short-term return.However,such deviation can expose a firm to higher operating risk,especially when the performance of firm's core businesses gets worse.When market participants realize that firm s financialization is driven by poor performance in its core businesses and firm s manager's tendency to protect their private benefits,they choose to sell stocks off and trigger severe crash on the market.To formalize the idea,we first construct a three-period principle-agent model to analyze the effect of firm financialization on stock price crashes.In the model,managers differ in their capability,which determines the future cash flows of the firm.However,firms cannot directly observe a manager s capability,but have to infer it from the medium-term cash flow.Therefore,before renewing their contracts,managers with low capability are motivated to speculate on financial assets,with an intention of realizing a higher cash flow,so that they can pretend to be highly capable.This moral hazard behavior induces stock price overvaluation and implies a higher crash risk in the last period.The model reveals that firm financialization for the purpose of hiding bad news may lead to an increase in stock price crash risk.We test for these theoretical predictions using the data of non-financial listed firms in China.Empirically,we find that firm financialization leads to a significant increase in the likelihood of stock price crashes.This positive correlation is more pronounced for firms with higher operating risk and weaker corporate governance.Our results are robust to alternative specifications including instrumental variable analysis,propensity-score matching analysis,and the inclusions of additional control variables in the model.Overall,our findings indicate that financialization serves as a tool for those firms with difficulties in operating their core businesses to ensure their private benefits at cost of excess exposure to a higher crash risk.This article makes contributions in several ways.First,this article contributes to the literature on the economic impact of transforming the economy from substantial to fictitious,which is an important issue for scholars and practitioners in China.Some Chinese scholars focus on the incentives of financial investments,such as precautionary saving,profit pursuit and so on.However,they do not pay attention to the effect of financialization on financial stability.This article reveals a specific channel through which transforming the economy from substantial to fictitious can dampen the overall economy:Enabling corporate insiders to preserve private benefits at the expense of market participants.Second,this article finds that the incentive of using financial investments to preserve private benefits can lead to stock price crashes.Therefore,we contribute to the literature on stock price crash by revealing a new and important determinant.This article also has important policy implications.The Chinese government has carried out several policies aiming to restrain firms over-investment in financial assets and guide them to engage in their core businesses.Our findings indicate that these policies can help constrain corporate insiders involvement in financial investments for their private benefits and therefore stabilize the market.