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中国管理科学

中国管理科学 ›› 2023, Vol. 31 ›› Issue (11): 12-23.doi: 10.16381/j.cnki.issn1003-207x.2020.2220

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台风灾害与股价崩盘风险

古志辉1,2(),张睿1,2   

  1. 1.南开大学中国公司治理研究院，天津 300071
    2.南开大学商学院，天津 300071
  • 收稿日期:2020-11-23 修回日期:2021-04-15 出版日期:2023-11-15 发布日期:2023-12-05
  • 通讯作者: 古志辉 E-mail:guzhihui@nankai.edu.cn
  • 基金资助:
    国家自然科学基金资助项目(71871122)

Typhoon Disasters and Stock Price Crash Risk

Zhi-hui GU1,2(),Rui ZHANG1,2   

  1. 1.China Institute of Corporate Governance, Nankai University, Tianjin 300071, China
    2.Business School, Nankai University, Tianjin 300071, China
  • Received:2020-11-23 Revised:2021-04-15 Online:2023-11-15 Published:2023-12-05
  • Contact: Zhi-hui GU E-mail:guzhihui@nankai.edu.cn

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摘要：

台风灾害作为频发性的自然灾害，不仅对财产和经济活动造成破坏，产生的恐慌情绪也会传递给资本市场，引起一系列连锁反应。本文以2010-2019年我国A股上市公司为样本，结合风场模型计算出的城市台风破坏力，探讨了台风灾害对股价崩盘风险的影响。结果显示：企业遭受台风破坏的程度与股价崩盘风险呈显著的正相关关系。进一步的分析表明，由于技术创新与固定资产的互补性，知识型资产正向调节台风破坏力与股价崩盘风险之间的关系；财务柔性能够帮助企业更好地应对风险，因此负向调节台风破坏力与股价崩盘风险之间的关系。本研究为帮助企业抵御自然灾害，减少股东损失提供了经验证据。

关键词: 股价崩盘风险, 台风灾害, 知识型资产, 财务柔性

Abstract:

Previous studies on stock price crash risk generally believed that stock price crash is caused by the concentrated outbreak of “bad news” hidden by insiders. However， if investors sell their stocks because of panic sentiments， it will also cause the stock price to crash. The occurrence of natural disasters will panic investors， and impact of disasters cannot be accurately evaluated in a short time. Investors may sell stocks because of loss aversion. Typhoon as a frequent natural disaster， the panic caused by it may be transmitted to the capital market， causing a series of reactions in the capital market. Therefore， how typhoon disasters affect asset pricing and crash risk may be a very important issue. At the same time， a large number of innovative firms have gathered in the southeast coastal areas of China， but whether the technological competitiveness can effectively resist the impact of typhoon damage on the stock price crash is also a worthy question. Finally， whether allocates resources appropriately can alleviate the impact of Typhoon on the stock price crash. But， now， the research on these questions is relatively rare.Concerning the above issues， according to the prospect theory， it is argued that the destruction of the company's property and public facilities by typhoon will make investors panic， and then lead to crash by selling stocks. Therefore， typhoon damage has a positive correlation with crash risk. There is a complementary relationship between the core competitiveness formed by technological innovation and the fixed assets of enterprises. The destruction of fixed assets by typhoon makes the value of knowledge assets unable to work. Therefore， knowledge assets positively regulate the relationship between typhoon damage and crash risk. Financial flexibility can help enterprises cope with risks better， so it negatively regulates the relationship between typhoon destruction and crash risk.To test the hypothesis， a linear regression model is constructed for empirical analysis. The explained variable is crash risk. And negative skewness and down-to-up volatility estimated by firm-special daily returns are the measure of crash risk. The explanatory variable is the maximum of typhoon damage index of the city where the listed company is located based on the wind field model. And the control variables include a series of financial indicators and stock trading indicators of the companies. In addition， to analyze the moderating effects of knowledge assets and financial flexibility the product term of patent quantity and typhoon damage index and the product term of operating cash flow ratio and typhoon damage index are added into regression model. The sample of empirical research is 23，674 firm-year observations from 3，509 listed firms in in Shanghai and Shenzhen stock markets during the period 2010-2019. According to the above empirical model， this paper uses OLS model to make regression analysis on the sample data. The results indicate that the greater the damage of typhoon to listed companies the greater stock price crash risk. The knowledge assets intensify the impact of typhoon damage on crash risk. And financial flexibility can effectively alleviate the impact of typhoon damage on crash risk. In order to ensure the reliability of the research results and correct the possible endogenous problems in the regression model， the minimum distance between listed companies and typhoon center in that year is selected as the instrumental variable and two-stage least squares regression is used. The consistent conclusion is obtained.Compared with the previous studies which only focus on the impact of major sudden natural disasters on the firms’ property， for the first time frequent typhoon disasters are brought into the capital market risk analysis and further the explanatory power of prospect theory is expanded. In practice， the results of this paper can be used for reference to objectively evaluate the relationship between natural disasters and capital market risk， and improve the ability of firms and investors to deal with natural disasters.

Key words: stock price crash risk, typhoon disasters, knowledge assets, financial flexibility

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