机构双重持股与预期崩盘风险:来自贷款人和股权持有人合并的证据

IF 3.2 3区 管理学 Q1 BUSINESS, FINANCE Contemporary Accounting Research Pub Date : 2024-07-18 DOI:10.1111/1911-3846.12966
Bing Li, Zhenbin Liu, Jeffrey Pittman, Shijie Yang
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引用次数: 0

摘要

利用同一公司的贷款人和股东之间的合并作为股东-债权人冲突的外生冲击,我们研究了这些冲突对公司事前预期的股价暴跌风险的因果效应,这些风险在期权隐含波动率的微笑中显而易见。贷款人和股东之间利益冲突的减少促使双重持有人鼓励披露更多信息,以减轻与其他投资者之间代价高昂的信息不对称,并更好地发挥其监督作用,约束经理人的坏消息抑制行为。与预期一致的是,我们发现在股东与债权人合并后,公司的事前预期崩溃风险会下降。我们还报告了有力、稳健的证据,表明当机构投资者或贷款人在处理公司中拥有更大的股份,或者股东与债权人之间的冲突容易加剧时,合并对公司预期崩盘风险的负面影响就会增加。此外,我们还发现,企业在合并后更频繁地发布管理层盈利预测(尤其是坏消息预测)。最后,我们发现,在信息不对称更严重、监督机制更薄弱的企业中,合并后的预期崩盘风险下降得更多。我们的证据表明,期权市场参与者重视双重持有人在阻止管理者囤积坏消息方面的作用。
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Institutional dual holdings and expected crash risk: Evidence from mergers between lenders and equity holders

Exploiting mergers between lenders and shareholders of the same firm as an exogenous shock to shareholder–creditor conflicts, we examine the causal effect of these conflicts on firms' ex ante expected stock price crash risk evident in the options implied volatility smirk. The decrease in conflicts of interest between lenders and shareholders induces dual holders to encourage the disclosure of more information to alleviate costly information asymmetry with other investors and better execute their oversight role in constraining managers' bad news suppression. Consistent with expectations, we find that a firm's ex ante expected crash risk declines after a shareholder–creditor merger. We also report strong, robust evidence that the negative impact of mergers on firms' expected crash risk increases when institutional investors or lenders have a greater stake in the treatment firms or when shareholder–creditor conflicts are apt to be exacerbated. Additionally, we document that firms issue management earnings forecasts (especially bad news forecasts) more frequently after these mergers. Finally, we find that expected crash risk decreases more after mergers in firms suffering worse information asymmetry and with weak monitoring mechanisms. Our evidence suggests that option market participants value the dual holder's role in deterring managers' bad news hoarding.

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来源期刊
CiteScore
6.20
自引率
11.10%
发文量
97
期刊介绍: Contemporary Accounting Research (CAR) is the premiere research journal of the Canadian Academic Accounting Association, which publishes leading- edge research that contributes to our understanding of all aspects of accounting"s role within organizations, markets or society. Canadian based, increasingly global in scope, CAR seeks to reflect the geographical and intellectual diversity in accounting research. To accomplish this, CAR will continue to publish in its traditional areas of excellence, while seeking to more fully represent other research streams in its pages, so as to continue and expand its tradition of excellence.
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