When expectations of implicit government guarantees diminished, do retail stock investors run away?

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance Pub Date : 2025-02-22 DOI:10.1016/j.jbankfin.2025.107418

Lin Tang , Zhi Zhuo , Hong Zou

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引用次数: 0

Abstract

We investigate the impact of implicit government guarantees (IGGs) on the trading behavior of retail stock investors for non-default firms, using China’s first corporate bond default in March 2014 as a negative shock to public expectations of IGGs. Our difference-in-differences analysis shows that, following the Chaori default shock, retail investors withdraw from high-default-risk firms that have not yet defaulted. This outcome is not attributed to industry, geographical or supply-chain contagions, declining stock prices, worsened financial metrics, or merely a seasonal effect. The effect is more pronounced for firms with preexisting larger retail ownership breadth or higher stock trading turnovers, for non-state-owned enterprises, and for firms with less sustainable earnings. When the initial default shows signs of a bailout, retail investors’ withdrawal partially reverses. Overall, the diminishment of IGGs seems to have reduced the moral hazard of retail stock investors and encouraged them to focus more on firms’ fundamentals, potentially enhancing the capital allocation efficiency in China’s stock market in the long run.

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当对政府隐性担保的预期减弱时，散户投资者会逃离吗？

本文以2014年3月中国首次公司债违约为例，研究隐性政府担保对非违约公司散户股票投资者交易行为的影响，并以此作为对公众对隐性政府担保预期的负面冲击。我们的异中之差分析表明，在超日违约冲击之后，散户投资者从尚未违约的高违约风险公司撤出。这一结果不能归因于行业、地理或供应链的传染、股价下跌、财务指标恶化或仅仅是季节性影响。这种影响对于那些拥有更大的零售所有权广度或更高的股票交易周转率的公司、非国有企业和可持续收益较低的公司更为明显。当最初的违约显示出纾困的迹象时，散户投资者的撤离会部分逆转。总体而言，igg的减少似乎降低了散户投资者的道德风险，并鼓励他们更多地关注公司的基本面，从长远来看，这可能会提高中国股市的资本配置效率。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Banking & Finance Multiple-

CiteScore

6.40

自引率

5.40%

发文量

262

期刊介绍： The Journal of Banking and Finance (JBF) publishes theoretical and empirical research papers spanning all the major research fields in finance and banking. The aim of the Journal of Banking and Finance is to provide an outlet for the increasing flow of scholarly research concerning financial institutions and the money and capital markets within which they function. The Journal''s emphasis is on theoretical developments and their implementation, empirical, applied, and policy-oriented research in banking and other domestic and international financial institutions and markets. The Journal''s purpose is to improve communications between, and within, the academic and other research communities and policymakers and operational decision makers at financial institutions - private and public, national and international, and their regulators. The Journal is one of the largest Finance journals, with approximately 1500 new submissions per year, mainly in the following areas: Asset Management; Asset Pricing; Banking (Efficiency, Regulation, Risk Management, Solvency); Behavioural Finance; Capital Structure; Corporate Finance; Corporate Governance; Derivative Pricing and Hedging; Distribution Forecasting with Financial Applications; Entrepreneurial Finance; Empirical Finance; Financial Economics; Financial Markets (Alternative, Bonds, Currency, Commodity, Derivatives, Equity, Energy, Real Estate); FinTech; Fund Management; General Equilibrium Models; High-Frequency Trading; Intermediation; International Finance; Hedge Funds; Investments; Liquidity; Market Efficiency; Market Microstructure; Mergers and Acquisitions; Networks; Performance Analysis; Political Risk; Portfolio Optimization; Regulation of Financial Markets and Institutions; Risk Management and Analysis; Systemic Risk; Term Structure Models; Venture Capital.