重大突发事件冲击下公司现金、库存和社会责任的价值效应

doi:10.16381/j.cnki.issn1003-207x.2021.0874

Abstract

Abstract:

The emergency of COVID-19 epidemic causes the fast dropping of GDP and prevents the development of world economics. Most of companies emerge the large loss， and even lots of companies had gone bankrupt during covid-19 epidemic. For corporate finance respective， the question attracts our attention： which corporate characteristics and what mechanisms can help the companies to alleviate the shocks of COVID-19 epidemic. It attempts to reveal the value effects of corporate characteristics such as cash， inventory and social responsibility in this paper. By analyzing the response of company stock prices to the impact of COVID-19， it focus on the role of corporate cash， inventory and social responsibility scores in stabilizing company stock prices under the shock of the epidemic， and the effects of other corporate characteristics are compared such as market to book ratio， size， leverage ratio and asset turnover ratio. $R E T i t = α + β 1 I N V T i × C O V I D t + β 2 C A S H i × C O V I D t + β 3 L n C S R i × C O V I D t + β 4 C O V I D t + β 5 I N V T i + β 6 C A S H i + β 7 L n C S R i + φ' X i + I F E + P F E + F F E + ε i t .$ Where　is the return rate of stock， and the cross-term $I N V T i × C O V I D t$ ， $? C A S H i × C O V I D t$ and $L n C S R i × C O V I D t$ are the union impacts of corporate cash， inventory， social responsibility and COVID-19 epidemic.To check the impacts of corporate cash， inventory and social responsibility on the company equity return during the COVID-19 epidemic， the following regression equation is used. The daily return rates from Jan. to April 2020 of stocks from 1470 firms of A-share market are used， which is not include into ST firms， financial corporates， housing and other public management corporates. There are 116，507 daily return rates. To test efficiently the impacts of corporate characteristics on the shocks of COVID-19 epidemic and avoid the Endogenous problem in the regression， all data of corporate characteristics are chosen at the end of 2019， before COVID-19 epidemic.All data is from CSMAR database.Our empirical results show that cash， social responsibility and market to book ratio have significant positive value effects， while corporate inventory has not that effect. The higher the companies holding cash， social responsibility score or market to book ratio before the epidemic， the greater the effect on alleviating the decline of stock price and stabilizing the rise of stock volatility. Besides， for companies in provinces or industries with more severe epidemics， cash and social responsibility levels have more significant effects on the company's ability to stabilize the equity return. Only when the market liquidity increases or the financing constraint of the company decreases， the inventory level become to emerge a positive value effect to the decline of the stock price. This study has a certain reference value for the company how to carry out crisis prevention management， and is of great significance to encourage the company to participate in social responsibility activities and understand the value of social responsibility to the company.

Key words: the COVID-19, cash holdings, inventory, social responsibility

CLC Number:

F275

Ai-fan LING,Jia ZHOU,Le TANG. The Value Effects of Cash, Inventory and Social Responsibility of Firms under the Impact of Major Emergencies: New Evidences from the COVID-19 Shock[J]. Chinese Journal of Management Science, 2023, 31(11): 24-36.

Figures/Tables 10

变量类型	变量名称	变量符号	变量含义
被解释变量	收益率	RET	不考虑现金红利的日收益率（%）
被解释变量	波动率	VOL	个股的日波动率（%）
解释变量	现金-资本比病例日增长率库存-资本比社会责任得分	CASH COVID INVT LnCSR	期末现金及现金等价物余额/总资产 $L n (1 + ? C a s e s t) - L n (1 + ? C a s e s t - 1)$ 存货净额/总资产和讯网2019年社会责任评分总得分对数
控制变量	市值-账面比财务杠杆资产周转率企业规模自由现金流	MTB LEV TOR SIZE CFLOW	资产的市场价值/总资产的账面价值长期债务加上流动负债/总资产营业收入/总资产总资产的自然对数经营活动产生的现金流量净额/总资产

变量	(I)	(II)	(III)	(IV)
$C A S H × C O V I D$	0.607^***	0.615^***	0.615^***	0.615^***
$C A S H × C O V I D$	(4.30)	(4.36)	(4.35)	(4.36)
$C O V I D$	-0.29^***	-0.29^***	-0.29^***	-0.29^***
$C O V I D$	(-14.5)	(-14.5)	(-14.5)	(-14.5)
$I N V T$		-0.077	0.021	-0.077
$I N V T$		(-0.63)	(0.19)	(-0.62)
$L n C S R$		0.030^***	0.025^**	0.031^***
$L n C S R$		(2.74)	(2.34)	(2.81)
$C A S H$		0.252^*	0.262^**	0.262^*
$C A S H$		(1.91)	(2.00)	(1.94)
控制变量	no	yes	yes	yes
常数项	0.026^***	0.043	0.101	0.046
常数项	(2.62)	(0.51)	(1.20)	(0.53)
IFE	No	Yes	No	Yes
PFE	No	No	Yes	Yes
FFE	Yes	No	No	No
N	116507	114611	114611	114611
Adj-R²	0.009	0.003	0.003	0.003

变量	(I)	(II)	(III)	(IV)
$I N V T × C O V I D$	-0.043	-0.021	-0.021	-0.021
$I N V T × C O V I D$	(-0.36)	(-0.17)	(-0.17)	(-0.17)
$C O V I D$	-0.22^***	-0.22^***	-0.22^***	-0.22^***
$C O V I D$	(-12.1)	(-12.1)	(-12.1)	(-12.1)
$I N V T$		-0.075	0.022	-0.075
$I N V T$		(-0.62)	(0.20)	(-0.61)
$L n C S R$		0.030^***	0.025^**	0.031^***
$L n C S R$		(2.74)	(2.34)	(2.81)
$C A S H$		0.294^**	0.304^**	0.305^**
$C A S H$		(2.23)	(2.32)	(2.26)
控制变量	No	Yes	Yes	Yes
常数项	0.026^***	0.038	0.095	0.040
常数项	(2.62)	(0.45)	(1.14)	(0.47)
IFE	No	Yes	No	Yes
PFE	No	No	Yes	Yes
FFE	Yes	No	No	No
N	116507	114611	114611	114611
Adj-R²	0.009	0.003	0.003	0.003

变量	(I)	(II)	(III)	(IV)
$L n C S R × C O V I D$	0.042^***	0.043^***	0.043^***	0.043^***
$L n C S R × C O V I D$	(3.54)	(3.57)	(3.57)	(3.57)
$C O V I D$	-0.33^***	-0.33^***	-0.33^***	-0.33^***
$C O V I D$	(-9.46)	(-9.55)	(-9.55)	(-9.55)
$I N V T$		-0.077	0.021	-0.077
$I N V T$		(-0.63)	(0.19)	(-0.62)
$L n C S R$		0.027^**	0.022^**	0.028^**
$L n C S R$		(2.47)	(2.06)	(2.54)
$C A S H$		0.294^**	0.304^**	0.305^**
$C A S H$		(2.23)	(2.32)	(2.26)
控制变量	No	Yes	Yes	Yes
常数项	0.026^***	0.046	0.103	0.048
常数项	(2.61)	(0.55)	(1.23)	(0.56)
IFE	No	Yes	No	Yes
PFE	No	No	Yes	Yes
FFE	Yes	No	No	No
N	114611	114611	114611	114611
Adj-R²	0.009	0.003	0.003	0.003

变量	(I)	(II)	(III)	(IV)	(V)	(VI)	(VII)	(VIII)
$I C S R × I N V T × C O V I D$	0.650^***	0.667^***	0.672^***	0.668^***
$I C S R × I N V T × C O V I D$	(3.18)	(3.29)	(3.32)	(3.29)
$I C S R × C A S H × C O V I D$					0.753^***	0.736^***	0.738^***	0.738^***
$I C S R × C A S H × C O V I D$					(3.04)	(2.97)	(2.98)	(2.98)
$I N V T × C O V I D$	-0.542^**	-0.555^***	-0.559^***	-0.555^***
$I N V T × C O V I D$	(-2.53)	(-2.62)	(-2.63)	(-2.61)
$C A S H × C O V I D$					-0.091	-0.075	-0.078	-0.077
$C A S H × C O V I D$					(-0.34)	(-0.28)	(-0.29)	(-0.28)
$C O V I D$	-0.216^***	-0.216^***	-0.216^***	-0.216^***	-0.284^***	-0.284^***	-0.284^***	-0.284^***
$C O V I D$	(-11.80)	(-11.87)	(-11.86)	(-11.87)	(-13.82)	(-13.91)	(-13.91)	(-13.91)
$I N V T$		-0.067	0.032	-0.070		-0.069	0.030	-0.072
$I N V T$		(-0.55)	(0.29)	(-0.57)		(-0.57)	(0.27)	(-0.59)
$I C S R$		0.059^**	0.046^*	0.064^**		0.060^**	0.047^*	0.065^**
$I C S R$		(2.10)	(1.67)	(2.26)		(2.13)	(1.70)	(2.29)
$C A S H$		0.307^**	0.314^**	0.318^**		0.269^**	0.276^**	0.280^**
$C A S H$		(2.33)	(2.39)	(2.36)		(2.04)	(2.11)	(2.08)
控制变量	No	Yes	Yes	Yes	No	Yes	Yes	Yes
常数项	0.026^***	0.056	0.113	0.060	0.026^***	0.060	0.117	0.064
常数项	(2.61)	(0.68)	(1.35)	(0.70)	(2.61)	(0.72)	(1.40)	(0.75)
IFE	No	Yes	No	Yes	No	Yes	No	Yes
PFE	No	No	Yes	Yes	No	No	Yes	Yes
FFE	Yes	No	No	No	Yes	No	No	No
N	114611	114611	114611	114611	114611	114611	114611	114611
Adj-R²	0.009	0.003	0.003	0.003	0.009	0.003	0.003	0.003

变量	(I)	(II)	(III)	(IV)	(V)	(VI)	(VII)	(VIII)	(IX)
$G C P × I N V T × C O V I D$	1.166^***	1.166^***	1.166^***
$G C P × I N V T × C O V I D$	(7.43)	(7.43)	(7.42)
$G C P × C A S H × C O V I D$				1.243^***	1.243^***	1.243^***
$G C P × C A S H × C O V I D$				(7.50)	(7.50)	(7.50)
$G C P × L n C S R × C O V I D$							0.070^***	0.070^***	0.070^***
$G C P × L n C S R × C O V I D$							(8.86)	(8.86)	(8.86)
$I N V T × C O V I D$	-0.663^***	-0.663^***	-0.663^***
$I N V T × C O V I D$	(-4.75)	(-4.75)	(-4.74)
$C A S H × C O V I D$				-0.071	-0.071	-0.071
$C A S H × C O V I D$				(-0.42)	(-0.42)	(-0.42)
$L n C S R × C O V I D$							0.004	0.004	0.004
$L n C S R × C O V I D$							(0.33)	(0.33)	(0.33)
$C O V I D$	-0.219^***	-0.219^***	-0.219^***	-0.294^***	-0.294^***	-0.294^***	-0.334^***	-0.334^***	-0.334^***
$C O V I D$	(-12.02)	(-12.02)	(-12.01)	(-14.24)	(-14.24)	(-14.24)	(-9.59)	(-9.59)	(-9.59)
$I N V T$	0.010	0.107	0.010	-0.077	0.021	-0.077	-0.077	0.021	-0.077
$I N V T$	(0.08)	(0.94)	(0.08)	(-0.63)	(0.18)	(-0.62)	(-0.63)	(0.18)	(-0.62)
$L n C S R$	0.030^***	0.025^**	0.031^***	0.030^***	0.025^**	0.031^***	0.032^***	0.027^**	0.033^***
$L n C S R$	(2.74)	(2.34)	(2.81)	(2.74)	(2.34)	(2.81)	(2.92)	(2.53)	(2.99)
$C A S H$	0.294^**	0.304^**	0.305^**	0.342^**	0.352^***	0.352^***	0.294^**	0.304^**	0.305^**
$C A S H$	(2.23)	(2.32)	(2.26)	(2.57)	(2.66)	(2.59)	(2.23)	(2.32)	(2.26)
控制变量	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
常数项	0.038	0.095	0.040	0.043	0.101	0.046	0.046	0.103	0.048
常数项	(0.45)	(1.14)	(0.47)	(0.51)	(1.20)	(0.53)	(0.55)	(1.23)	(0.56)
IFE	Yes	No	Yes	Yes	No	Yes	Yes	No	Yes
PFE	No	Yes	Yes	No	Yes	Yes	No	Yes	Yes
N	114611	114611	114611	114611	114611	114611	114611	114611	114611
Adj-R²	0.003	0.003	0.003	0.003	0.003	0.004	0.003	0.003	0.004

变量	(I)	(II)	(III)	(IV)	(V)	(VI)	(VII)	(VIII)	(IX)
$I n d × C A S H × C O V I D$	0.280^**	0.287^**	0.280^**
$I n d × C A S H × C O V I D$	(2.07)	(2.12)	(2.07)
$I n d × I N V T × C O V I D$				-0.004	0.007	-0.004
$I n d × I N V T × C O V I D$				(-0.03)	(0.06)	(-0.03)
$I n d × L n C S R × C O V I D$							0.019^**	0.020^**	0.019^**
$I n d × L n C S R × C O V I D$							(2.23)	(2.33)	(2.23)
$C O V I D$	-0.248^***	-0.249^***	-0.248^***	-0.221^***	-0.222^***	-0.221^***	-0.263^***	-0.265^***	-0.263^***
$C O V I D$	(-14.12)	(-14.15)	(-14.12)	(-13.42)	(-13.49)	(-13.42)	(-11.43)	(-11.52)	(-11.43)
$I N V T$	-0.077	0.020	-0.077	-0.077	0.020	-0.077	-0.077	0.020	-0.077
$I N V T$	(-0.63)	(0.18)	(-0.62)	(-0.63)	(0.18)	(-0.62)	(-0.63)	(0.18)	(-0.62)
$L n C S R$	0.030^***	0.025^**	0.031^***	0.030^***	0.025^**	0.031^***	0.029^***	0.024^**	0.030^***
$L n C S R$	(2.74)	(2.34)	(2.81)	(2.74)	(2.34)	(2.81)	(2.64)	(2.23)	(2.71)
$C A S H$	0.279^**	0.290^**	0.289^**	0.294^**	0.304^**	0.305^**	0.295^**	0.306^**	0.305^**
$C A S H$	(2.12)	(2.21)	(2.15)	(2.23)	(2.32)	(2.26)	(2.23)	(2.34)	(2.26)
控制变量	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
常数项	0.039	0.097	0.042	0.038	0.095	0.040	0.040	0.097	0.043
常数项	(0.47)	(1.16)	(0.49)	(0.45)	(1.14)	(0.47)	(0.49)	(1.16)	(0.50)
IFE	Yes	No	Yes	Yes	No	Yes	Yes	No	Yes
PFE	No	Yes	Yes	No	Yes	Yes	No	Yes	Yes
N	114611	114611	114611	114611	114611	114611	114611	114611	114611
Adj-R²	0.003	0.003	0.003	0.003	0.003	0.003	0.003	0.003	0.003

变量	(I)	(II)	(III)	(IV)	(V)	(VI)	(VII)	(VIII)
$C A S H × C O V I D$	0.606^***	0.533^***	0.561^***	0.491^***	0.606^***	0.629^***	0.534^***	0.420^***
$C A S H × C O V I D$	(4.30)	(3.74)	(3.86)	(3.46)	(4.21)	(4.43)	(3.77)	(2.77)
$C O V I D$	-0.293^***	-0.379^***	-0.246^***	-0.363^***	-0.295^***	-0.417^***	-0.324^***	-0.656^***
$C O V I D$	(-11.89)	(-10.10)	(-5.70)	(-14.32)	(-12.53)	(-5.34)	(-14.18)	(-7.15)
$I N V T × C O V I D$	-0.010							0.099
$I N V T × C O V I D$	(-0.08)							(0.74)
$L n C S R × C O V I D$		0.036^***						0.022^*
$L n C S R × C O V I D$		(2.97)						(1.73)
$L E V × C O V I D$			-0.094					-0.024
$L E V × C O V I D$			(-1.30)					(-0.27)
$M T B × C O V I D$				0.035^***				0.041^***
$M T B × C O V I D$				(4.52)				(4.58)
$T O R × C O V I D$					0.001			-0.007
$T O R × C O V I D$					(0.03)			(-0.26)
$S I Z E × C O V I D$						0.013^*		0.023^**
$S I Z E × C O V I D$						(1.70)		(2.45)
$C F L O W × C O V I D$							0.712^***	0.399^*
$C F L O W × C O V I D$							(3.32)	(1.65)
常数项	0.026^***	0.026^***	0.026^***	0.026^***	0.026^***	0.026^***	0.026^***	0.026^***
常数项	(2.62)	(2.61)	(2.62)	(2.62)	(2.62)	(2.62)	(2.62)	(2.61)
FFE	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
N	116507	114611	116507	116507	116507	116507	116507	114611
Adj-R²	0.009	0.009	0.009	0.009	0.009	0.009	0.009	0.010

变量	(I)	(II)	(III)	(IV)	(V)	(VI)	(VII)	(VIII)
$L n C S R × C O V I D$	0.043^***	0.036^***	0.041^***	0.037^***	0.042^***	0.042^***	0.035^***	0.022^*
$L n C S R × C O V I D$	(3.54)	(2.97)	(3.44)	(3.06)	(3.50)	(3.42)	(2.86)	(1.73)
$C O V I D$	-0.331^***	-0.379^***	-0.266^***	-0.416^***	-0.337^***	-0.347^***	-0.351^***	-0.656^***
$C O V I D$	(-8.74)	(-10.10)	(-5.37)	(-10.82)	(-8.99)	(-4.54)	(-9.93)	(-7.15)
$I N V T × C O V I D$	-0.023							0.099
$I N V T × C O V I D$	(-0.19)							(0.74)
$C A S H × C O V I D$		0.533^***						0.420^***
$C A S H × C O V I D$		(3.74)						(2.77)
$L E V × C O V I D$			-0.140^**					-0.024
$L E V × C O V I D$			(-1.98)					(-0.27)
$M T B × C O V I D$				0.041^***				0.041^***
$M T B × C O V I D$				(5.14)				(4.58)
$T O R × C O V I D$					0.006			-0.007
$T O R × C O V I D$					(0.23)			(-0.26)
$S I Z E × C O V I D$						0.002		0.023^**
$S I Z E × C O V I D$						(0.20)		(2.45)
$C F L O W × C O V I D$							0.679^***	0.399^*
$C F L O W × C O V I D$							(3.06)	(1.65)
常数项	0.026^***	0.026^***	0.026^***	0.026^***	0.026^***	0.026^***	0.026^***	0.026^***
常数项	(2.61)	(2.61)	(2.61)	(2.61)	(2.61)	(2.61)	(2.61)	(2.61)
FFE	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
N	114611	114611	114611	114611	114611	114611	114611	114611
Adj-R²	0.009	0.009	0.009	0.009	0.009	0.009	0.009	0.010

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变量	样本数	均值	标准差	p25	中位数	p75
RET	116507	0.0106	3.387	-1.721	0	1.653
VOL	116507	2.418	2.373	0.760	1.685	3.193
COVID	116507	0.0697	0.724	-0.280	0	0.262
INVT	116507	0.123	0.0964	0.0566	0.107	0.164
CASH	116507	0.118	0.0830	0.0616	0.0995	0.152
LnCSR	114611	2.642	1.121	2.673	3.014	3.208
LEV	116507	0.461	0.163	0.349	0.460	0.574
MTB	116507	2.369	1.603	1.467	1.881	2.626
TOR	116507	0.622	0.467	0.351	0.525	0.738
LnSIZE	116507	9.082	1.290	8.179	8.865	9.856
CFLOW	116507	0.0537	0.0522	0.0207	0.0498	0.0816

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The Value Effects of Cash, Inventory and Social Responsibility of Firms under the Impact of Major Emergencies: New Evidences from the COVID-19 Shock

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