上市公司杠杆错估的市场反应——基于事件研究法的实证分析

Market Reaction to Leverage Misestimate of Listed Companies:Empirical Analysis Based on Event Study Method

突如其来的新冠疫情加大了市场不确定性,放大了微观企业杠杆释放的财务风险信号,导致投资者对传统杠杆较高的企业避之不及。然而,对“资本”和“资产”概念的混淆以及对“营业性负债”和“金融性负债”的混同引发了对企业实际杠杆水平的错估。本文在计算资本概念泛化产生的杠杆错估程度基础上,经实证检验发现,疫情冲击下杠杆错估严重的企业获得了更低的累积超额收益率,且所处行业受疫情冲击程度较大、企业成长性较高时,获得的累计超额收益率越低。进一步研究发现,杠杆错估降低了信贷资源的可获得性,这一影响在疫情发生后更显著。

The sudden outbreak of COVID-19 increased market uncertainty,magnified the financial risk signals released by micro corporate leverage,and led investors to avoid companies with high traditional leverage.However,the confusion between the concepts of“capital”and“assets”as well as the confusion between“operational liabilities”and“financial liabilities”has led to the misestimation of the actual leverage level of corporates.Based on the calculation of leverage misestimate caused by the generalization of capital concept,the empirical test of this paper finds that under the impact of COVID-19,the corporates with severe leverage misestimate obtained lower cumulative abnormal return.Moreover,the greater the impact of the epidemic on the corporate′s industry and the higher the growth of the corporate,the lower the cumulative abnormal return.Further research shows that leverage misestimate reduces the ability of corporates to obtain credit resources,and this effect is particularly significant after the outbreak of the epidemic.This study enriches the researches on the impact of major public health crises on the market economy from the micro perspective.