阅读|管理者过度自信、公司透明度与股价崩盘风险：来自中国的经验证据
Managerial overconfidence, firm transparency, and stock price crash risk: Evidence from an emerging market
管理者过度自信、公司透明度与股价崩盘风险：来自中国的经验证据
Quanxi Liang
School of Business, Guangxi University, Nanning, China
Leng Ling
Bunting College of Business, Georgia College and State University, Milledgeville, Georgia, USA
Jingjing Tang
School of Business, Guangxi University, Nanning, China
Haijian Zeng
Guangxi University, Nanning, China
Mingming Zhuang
Guangdong University of Foreign Studies, Guangzhou, China
Citation:
Liang, Q., Ling, L., Tang, J., Zeng, H. and Zhuang, M. (2019), "Managerial overconfidence, firm transparency, and stock price crash risk: Evidence from an emerging market", China Finance Review International, Vol. 10 No. 3, pp. 271-296. https://doi.org/10.1108/CFRI-01-2019-0007
关键词
China, Managerial overconfidence, Stock price crash risk, Firm transparency
摘要
本文利用中国非国有上市公司2000-2012年间的数据，考察管理者过度自信是否以及如何影响股价崩盘风险。我们发现相比于管理者（包括CEO和董事长）非过度自信的公司，管理者过度自信的公司具有显著更高的股价崩盘风险，该结果即使在控制了公司和年度固定效应以及影响股价崩盘风险的其他公司特征后仍然成立。进一步的，我们发现管理者过度自信对股价崩盘风险的影响在透明度较低的公司中更为显著，表明低透明度的公司信息环境为管理者隐藏坏消息提供了便利，从而增加股价发生崩盘的风险。最后，我们发现管理者过度自信与股价暴涨风险显著负相关，表明过度自信的管理者更倾向于及时向市场披露利好消息。
Purpose
The purpose of this paper is to empirically analyze whether and how managerial overconfidence
affects stock price crash risk.
Design/methodology/approach
Based on a large sample of Chinese non-state-owned firms from 2000 to 2012, this study employs methods including multiple linear regression model, Heckman two-stage treatment effect procedure, firm fixed effects model and event study to clarify the causality relationship between managerial overconfidence and crash risk.
Findings
The authors find that firms with overconfident managers (chief executive officer or board chairs)
are more likely to experience future stock price crashes than firms with non-overconfident managers. The effect of overconfidence on crash risk is more pronounced for firms with low transparency, suggesting that firm opacity facilitates overconfident managers’ bad news hoarding activities, which, in turn, increases stock price crash risk. The authors also show evidence that overconfident managers tend to disclose good news in a timely manner.
Originality/value
The authors add to the growing literature on stock price crash risk. Specifically, the authors find that the cognitive bias of board chair plays an important role in the bad news hoarding activities, thereby increasing the likelihood of stock price crash. This study also contributes to the literature that addresses the effects of managerial overconfidence on corporate finance issues.
文章结构
Introduction
Related literature and hypothesis development
Sample and research design
3.1 Sample construction
3.2 Measurement of stock price crash risk
3.3 Measurement of managerial overconfidence
3.4 Measurement of firm transparency
3.5 Regression models
Empirical results
4.1 Descriptive statistics and univariate analysis
4.2 Multivariate test of H1
4.3 Test of H2
Robustness checks and additional tests
5.1 Endogeneity Issues
5.2 Alternative measures of managerial overconfidence
5.3 Alternative measures of crash risk
5.4 Controlling for the influence of corporate governance
5.5 Additional analysis
Conclusion
研究成果
Descriptive statistics
Univariate tests
The effect of managerial overconfidence on stock price crash risk
The effect ofmanagerial overconfidence
components on stock price crash risk
The impact of firm transparency
Results of two-stage regressions to examine self-selection bias associated with managerial overconfidence
Managerial overconfidence and crash risk:
event study
Controlling for firm fixed effects
Alternative measures of managerial overconfidence
Alternative measures of crash risk
Controlling for the influence of corporate governance
The effects of managerial overconfidence on positive jump risk of stock price
主要结论
This paper analyzes the impact of managerial overconfidence on stock price crash risk. Using a large sample of Chinese non-state-owned firms from 2000 to 2012, we find that firms with overconfident CEOs or board chairs are more likely to experience stock price crashes in the future. In addition, the effects of managerial overconfidence on crash risk are more pronounced for firms with lower transparency, indicated by lower earnings quality, being audited by non-Big4 auditors, large dispersions in analysts’ earnings forecasts, and low ratings on information disclosure. This finding implies that an opaque information environment facilitates bad news hoarding activities by overconfident managers. We also find that managerial overconfidence is negatively associated with future stock price jump
risk, suggesting that overconfident managers tend to release positive information in a timely manner. The main results hold after a series of robustness tests. Our study complements the research of Jin and Myers (2006), who emphasize the importance of investor protection and firm transparency in reducing crash risk.
作者简介
梁权熙，广西大学商学院副教授，经济学博士，研究方向为公司治理与资产定价。
Leng Ling，美国佐治亚学院暨州立大学金融学教授，研究方向为公司金融。
唐菁菁，广西大学商学院副教授，博士研究生，研究方向为公司金融。
曾海舰，广西大学商学院教授，经济学博士，研究方向为公司金融。
庄明明，广东外语外贸大学会计学院讲师，经济学博士，研究方向为公司金融。
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