基金风格漂移与股价崩盘风险——基于公司财务风险的中介效应分析

IF 9 1区经济学 Q1 BUSINESS, FINANCE

China Finance Review International Pub Date : 2022-06-06 DOI:10.1108/cfri-11-2021-0222

Yanlin Sun, Siyu Liu, Shoudong Chen

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引用次数: 8

摘要

本文旨在识别基金风格漂移对股价暴跌风险和金融风险中介机制的直接影响，从而更好地保护中小投资者的利益。设计/方法/途径本文以2011 - 2020年中国创业板上市的所有非金融类公司为研究对象，选取其十大流通股中的证券投资基金，研究基金风格漂移与股价崩盘风险的关系。研究发现，基金风格的漂移可能会增加股价崩盘的风险。财务风险与股价崩盘风险正相关。基金风格漂移通过金融风险的中介作用影响股价崩盘风险，基金风格漂移和金融风险对非国有企业股价崩盘风险的影响显著，对国有企业股价崩盘风险的影响不显著。独创性/价值本文探索性地将基金风格漂移与股价崩盘风险联系起来，丰富了机构投资者行为与股价崩盘风险关系的研究视角，具有一定的学术价值。一方面，为金融风险与股价崩盘风险的学术前沿问题提供了新的思路，证明了金融风险与股价崩盘风险呈正相关关系;另一方面，将金融风险作为基金风格漂移对股价暴跌风险的中介变量，进一步探讨了机构投资者行为的不同影响机制。

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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Fund style drift and stock price crash risk – analysis of the mediating effect based on corporate financial risk

PurposeThis paper aims to identify the direct impact of fund style drift on the risk of stock price collapse and the intermediary mechanism of financial risk, so as to better protect the interests of minority investors.Design/methodology/approachThis paper takes all the non-financial companies on the Chinese Growth Enterprise Market from 2011 to 2020 as study object and selects securities investment funds of their top ten circulation stocks to study the relationship between fund style drift and stock price crash risk.FindingsFund style drift is likely to add stock price crash risk. Financial risk is positively correlated with stock price crash risk. Fund style drift affects stock price crash risk via the mediating effect of financial risk, and fund style drift and financial risk have a marked impact on the stock price crash risk of non-state enterprises, yet a non-significant impact on that of state-owned enterprises.Originality/valueThis paper links fund style drift with stock price crash risk in an exploratory manner and enriches the study perspectives of relationship between institutional investors’ behaviors and stock price crash risk, thus enjoying certain academic value. On the one hand, it furnishes a new approach to the academic frontier issue concerning financial risk and stock price crash risk, and proves that financial risk is positively correlated with stock price crash risk. On the other hand, it regards financial risk as a mediating variable of fund style drift for stock price crash risk and further explores different influencing mechanism of institutional investors’ behaviors.

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来源期刊

China Finance Review International BUSINESS, FINANCE-

CiteScore

12.40

自引率

1.20%

发文量

112

期刊介绍： China Finance Review International publishes original and high-quality theoretical and empirical articles focusing on financial and economic issues arising from China's reform, opening-up, economic development, and system transformation. The journal serves as a platform for exchange between Chinese finance scholars and international financial economists, covering a wide range of topics including monetary policy, banking, international trade and finance, corporate finance, asset pricing, market microstructure, corporate governance, incentive studies, fiscal policy, public management, and state-owned enterprise reform.