Pacific-Basin Finance Journal Volume 43, June 2017, Pages 256–266

投资者保护与股票崩盘风险

作者：Hongliang Zhang (Beijing Technology and Business University, China), Mengying Wang (University of Massachusetts-Boston, USA), Jie Jiang( China Youth Politics College, China)

摘要：本文考察了投资者保护和股票崩盘风险之间的关系。我们提出了一个公司水平的指数去衡量公司投资者是如何被保护的。以2010到2012年中国上市公司为样本，我们发现那些投资者接受最好保护的公司崩盘的可能性较少。我们用一个工具变量验证了我们结果的稳定性。同时，我们建立了一个子样本分析并对投资者保护分值进行分解。我们发现的结果是一致的，即投资者保护对股票崩盘的风险存在反向影响。

Investor protection and stock crash risk

Hongliang Zhang (Beijing Technology and Business University, China), Mengying Wang (University of Massachusetts-Boston, USA), Jie Jiang( China Youth Politics College, China)

ABSTRACT

This paper examines the empirical relationship between investor protection and the risk of stock crash. We develop a firm-level index to measure how well a firm's investors are protected. Using a sample of listed Chinese companies from 2010 to 2012, we find that the stock of those firms whose investors received the best protection were less prone to crashes. We used an instrument approach to check the robustness of our findings. We also conduct a subsample analysis and decompose an investor protection score. We find consistent evidence of the adverse impact of poor investor protection on the risk of stock crash.

原文链接：http://www.sciencedirect.com/science/article/pii/S0927538X17302214

翻译：阙江静