新环保督察方案与股价崩盘风险--基于双重差分模型的实证检验

New Environmental Protection Supervision Scheme and Stock Price Crash Risk——Empirical Test Based on Difference-in-difference Model

新环保督察方案自执行以来,我国各省份经济发展与环境保护取得了突出成就。研究以新环保督察方案这一外生事件为切入点,以2014~2019年A股上市公司为样本,运用双重差分模型探讨其对股价崩盘风险的影响。研究表明,新环保督察方案加剧了污染企业的股价崩盘风险,且这一关系在民营企业和法律环境较好的省份更为显著。进一步,稳健性检验采用了两种方法:将因变量替换为下一年数据和安慰剂检验,二者均不改变研究结论的有效性。研究结果表明,新环保督察方案执行之严,污染企业不得不选择披露更多负面信息,这为企业外部投资者提供了有用信息,促进了信息环境的透明度,提高了治理环境,对投资者和决策者具有重要的参考价值。

Since the implementation of the new environmental protection supervision program,China's provinces have made outstanding achievements in economic development and environmental protection.This paper takes the exogenous event of the new environmental protection supervision scheme as the starting point,and takes A-share listed companies from 2014 to 2019 as samples,and uses the difference-in-difference model to explore its impact on the stock price crash risk.The results show that the new environmental protection supervision scheme aggravates the stock price collapse risk of polluting enterprises,and this relationship is more significant in private enterprises and provinces with better legal environment.Furthermore,two methods were used in the robustness test:the dependent variable was replaced by the next year's data and the placebo test.Neither of them changes the validity of the conclusion.The results show that the implementation of the new environmental supervision scheme is strict,polluting enterprises have to choose to disclose more negative information,which provides useful information for external investors,promotes the transparency of the information environment,improves the governance environment,and has important reference value for investors and decision makers.