摘要
本文考察了入选沪深300指数成份股对该公司未来股价崩盘风险的影响。为缓解内生性问题,本文利用中国特有的备选股制度所提供的准自然实验机会,以备选股作为对照组,采用双重差分模型进行了实证检验。分析结果表明,相比备选股,公司在入选成为股指成份股之后,其股价崩盘风险显著上升。进一步的路径检验发现,分析师乐观预测偏差及分析师跟随在其间起到了部分中介效应。本研究不但有助于更好地理解股价崩盘风险动因和股指成份股调整的经济后果,也为监管部门加强分析师监管、完善成份股调整制度提供了决策参考。
This paper examines the effect of CSI300 Index additions on stock price crash risk. To alleviate endogeneity concern,we use those stocks selected as backups for the stocks newly included in CSI300 Index as the control group and conduct a difference-in-differences analysis. We find that,compared to backup stocks,stocks newly added experience a significant increase in future stock price crash risk. Further analyses suggest that analyst optimistic forecast bias and coverage both play a partial mediating role in the crash effect of CSI300 Index additions. This study not only provides more insights about the determinants of stock price crash risk and the consequences of stock price index additions,but also offers reference for the regulatory authorities to strengthen the analyst supervision and improve the CSI300 index adjustment system.
作者
叶康涛
刘芳
李帆
YE Kangtao;LIU Fang;LI Fan(Business School, Renmin University of Chin;CFFEX Institute for Financial Derivative)
出处
《金融研究》
CSSCI
北大核心
2018年第3期172-189,共18页
Journal of Financial Research
基金
国家自科基金重大项目(项目号:71790602)
教育部人文社科项目规划项目(项目号:16YJA790059)
财政部全国会计科研课题重点项目(项目号:2015KJA009)
上海市金融工作党委和上海市金融办上海青年金才专项资助
关键词
股指成份股调整
股价崩盘风险
双重差分模型
CSI300 Index Addition, Stock Price Crash Risk, Difference- in- Differences Analysis
