Financial constraints and the financial distress puzzle: Evidence from a frontier market before and during the Covid-19 pandemic

IF 1.2 4区经济学 Q3 BUSINESS, FINANCE

Investment Analysts Journal Pub Date : 2022-01-02 DOI:10.1080/10293523.2022.2037202

Khoa Dang Duong, Linh Thi Diem Truong, Tran Ngoc Bao Huynh, Quang T. Luu

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引用次数: 12

Abstract

ABSTRACT We are the first ever to examine the financial constraints and distress risk puzzle of listed manufacturing firms in Vietnam. We employ different estimation methods such as portfolio sorting, Fama Macbeth regression, and asset pricing models to analyse a sample containing 27 300 firm-month observations from 2008 to 2021. Our empirical evidence figures out that the Z-score anomaly exists in the Vietnam stock market before the Covid-19 pandemic. The distress risk puzzle also exists after controlling for financial constraints and other firm characteristics. Moreover, the asset pricing model results conjecture that the distress risk is a priced factor. The average raw returns difference and risk-adjusted returns difference between stocks in the highest and lowest Z-score terciles are around 1% per month. However, we figure out that the Z-score puzzle disappears during the pandemic. Finally, our study employs a two-way sorting methodology to examine the causality between the distress puzzle and financial constraints. Our study figures out that distress risks cause higher financial constraints, not the other way around. Our findings support managers and policymakers in managing the default risk, especially during the pandemic.

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财务约束与财务困境之谜：新冠肺炎大流行之前和期间前沿市场的证据

摘要我们首次研究了越南上市制造业公司的财务约束和困境风险难题。我们采用不同的估计方法，如投资组合排序、法玛麦克白回归和资产定价模型，分析了包含27300个2008年至2021年公司月观察数据的样本。我们的经验证据表明，在新冠肺炎大流行之前，越南股市存在Z-score异常。在控制了财务约束和其他企业特征后，也存在着困境风险难题。此外，资产定价模型的结果推测，困境风险是一个定价因素。z得分最高和最低的股票之间的平均原始收益差和风险调整后的收益差每月约为1%。然而，我们发现z分数谜题在大流行期间消失了。最后，我们的研究采用双向排序方法来检验困境难题与财务约束之间的因果关系。我们的研究表明，困境风险导致更高的财务约束，而不是相反。我们的研究结果支持管理者和政策制定者管理违约风险，特别是在大流行期间。

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

Investment Analysts Journal BUSINESS, FINANCE-

CiteScore

1.90

自引率

11.10%

发文量

期刊介绍： The Investment Analysts Journal is an international, peer-reviewed journal, publishing high-quality, original research three times a year. The journal publishes significant new research in finance and investments and seeks to establish a balance between theoretical and empirical studies. Papers written in any areas of finance, investment, accounting and economics will be considered for publication. All contributions are welcome but are subject to an objective selection procedure to ensure that published articles answer the criteria of scientific objectivity, importance and replicability. Readability and good writing style are important. No articles which have been published or are under review elsewhere will be considered. All submitted manuscripts are subject to initial appraisal by the Editor, and, if found suitable for further consideration, to peer review by independent, anonymous expert referees. All peer review is double blind and submission is via email. Accepted papers will then pass through originality checking software. The editors reserve the right to make the final decision with respect to publication.