分析师覆盖、现金流风险与股价崩盘

Analyst Coverage, Cash Flow Risk and Stock Price Crash

股价崩盘风险是当前我国资本市场稳健运行面临的“拦路虎”,受到了学术界及各方面的广泛关注,但纵观已有研究,鲜有文献从公司现金流风险角度探讨股价崩盘。有鉴于此,以2002—2015年A股非金融类上市公司为样本,采用双重固定效应模型,就现金流风险对股价崩盘的影响展开实证检验,其结果显示:现金流风险与股价崩盘风险有显著正向关系,即公司现金流风险越高,股价崩盘风险越大。进一步研究发现,分析师覆盖与股价崩盘风险也有显著正向关系,即分析师覆盖越多,股价崩盘风险越大,并且分析师覆盖强化了现金流风险与股价崩盘之间的正向关系,表明分析师并没有起到缓解信息不对称的作用。上述结论不仅从现金流风险视角揭示出股价崩盘的原因,而且为认识分析师在我国资本市场中的作用提供了经验证据。

The risk of stock price collapse is the“obstacle”to the steady operation of China s capital market,which has been widely concerned by the academic circle and others.However,few studies on stock price collapse have been done from the perspective of corporate cash flow risk.Taking A-share non-financial listed companies from 2002 to 2015 as samples,this paper empirically tests the impact of cash flow risk on stock price collapse by using a dual fixed effect model.The results show that cash flow risk has a significant positive relationship with stock price collapse risk,that is,the higher the company s cash flow risk,the greater the stock price collapse.There is also a significant positive relationship between analyst coverage and stock price collapse risk,that is,the more analyst coverage,the greater the risk of stock price collapse.Analyst coverage reinforces the positive relationship between cash flow risk and stock price collapse,indicating that analysts do not play a role in alleviating information asymmetry.The conclusion is still valid after a series of robustness tests.The above conclusions not only reveal new factors of stock price collapse from the perspective of cash flow risk,but also provide empirical evidence for understanding the role of analysts in the capital market.