台风影响、股票回报和公司反应:中国视角

Typhoons’effect,stock returns,and firms’response:Insights from China

研究了台风灾害对中国A股上市公司股票收益的影响和公司管理层面对此类极端气候灾害的反应。基于2003~2018年中国A股上市公司的样本,我们发现台风袭击对中国股市带来了显著的负面影响.首先,采用事件研究法直接检验台风袭击造成的异常收益。同时,根据规模和价值因子将股票分成不同的投资组合,考察台风影响对于不同因子的敏感度.最后,采用多期双差分模型研究了企业管理层面对极端灾害时的反应。研究发现,相较于距离灾区较远的企业,邻近灾区的企业更倾向于在灾后采取一定的预防措施,包括降低流动债务占总债务的比率和增加长期借款融资占比。此外,随着袭击次数的增加,公司的过度反应会逐渐消失,而这种过度反应的合理性需要进一步研究。

This paper examines the impact of typhoons in China on the stock returns of Chinese A-share listed firms and the responses of their managers.Based on a sample of Chinese A-share listed companies from 2003 to 2018,we find that the occurrence of typhoons causes significant negative effects on the Chinese stock market,both economically and statistically.We use an event study approach to test the impact of typhoons directly,and we sort the stocks into different portfolios to examine the sensitivity of the typhoons’effect to different factors.We also investigate the responses of firms’management to damaging disasters using a difference-in-differences method with multiple time periods.We discover that firms in the neighborhood area are willing to take precautions,including decreasing the current debt to total debt ratio and increasing the ratio of long-term borrowing financing to total assets.Furthermore,firms’overreactions will disappear as the number of attacks increases,and the rationality of this overreaction needs further research.