产业政策会影响股价崩盘风险吗?——来自"五年规划"变更的经验证据

Does Industrial Policy Affect Stock Price Crash Risk?-Evidence from the Change of the Five--Year Plan

本文以2006-2015年我国A股上市公司为对象,采用PSM-DID双重差分实证分析的方法,对产业政策和股价崩盘风险的关系进行了分析,并辅以探究产权性质与市场化程度等因素在影响机制中扮演的角色。结果显示,在考虑控制组公司的情况下,产业政策实施后,处理组公司的股价崩盘风险显著增加;相比非国有企业,国有企业更容易受到产业政策的影响,增加股价崩盘的风险;产业政策对高市场化程度地区的股价崩盘风险影响更大。进一步分析表明,产业政策主要通过降低企业所得税税率来减少股价崩盘风险,企业所得税税率越高,股价崩盘风险越低。本研究不仅丰富了对股价崩盘风险形成机理的认识,也为产业政策对我国资本配置效率的影响提供了有力证据。

Relying on the A-share listed companies in China from 2006 to 2015,this study analyzed the relationship between industrial policies and stock price crash risk using the PSM-DID double difference empirical analysis method,supplemented by exploring the roles played by factors such as property rights and degree of marketization in the impact mechanism.The results show that the implementation of industrial policy significantly increases the stock price crash risk of the underlying companies.In addition,compared with non-state-owned enterprises,state-owned enterprises are more susceptible to the influence of industrial policy,increasing stock price crash risk.The impact of industrial policy on stock price crash risk in different degrees of marketization is not significantly different.Further analysis shows that industrial policy mainly reduces stock price crash risk by lowering the corporate income tax rate.The higher the corporate income tax rate,the lower the stock price crash risk.This study not only enriches the understanding of the mechanism of stock price crash risk formation,but also provides strong evidence for the impact of industrial policy on the efficiency of capital allocation in China.