Ye Yanyi, Wang Yun, Yang Xiaoguang
School of Economics and Management, Beijing University of Chemical Technology, Beijing, 100029 China.
School of Banking and Finance, University of International Business and Economics, Beijing, 100029 China.
Financ Innov. 2022;8(1):62. doi: 10.1186/s40854-022-00367-0. Epub 2022 May 24.
In this study, we use bank loan information to construct proxies for corporate transparency and examine whether these measures reflect information asymmetry in the stock market. Our analysis is based on a novel dataset of stock transactions and bank loans of all publicly listed firms on the Shenzhen Stock Exchange, covering January 2008 to June 2013. We find that firms with outstanding loans have a lower level of information asymmetry in the stock market, whereas firms with defaulted loans have a higher level of asymmetry. Further evidence demonstrates that the effect of loan default on information asymmetry in the stock market is more pronounced when these loans are borrowed from joint-equity commercial banks or multiple banks and when the default occurs under inactive market conditions. Our results remain robust to a series of endogeneity and sensitivity tests and provide suggestive evidence of a close connection between the credit loan and stock markets.
在本研究中，我们利用银行贷款信息构建企业透明度的代理变量，并检验这些指标是否反映了股票市场中的信息不对称。我们的分析基于一个涵盖2008年1月至2013年6月在深圳证券交易所上市的所有公司的股票交易和银行贷款的全新数据集。我们发现，有未偿还贷款的公司在股票市场中的信息不对称程度较低，而有违约贷款的公司则具有较高的不对称程度。进一步的证据表明，当这些贷款是从股份制商业银行或多家银行借入时，以及当违约发生在市场不活跃的情况下，贷款违约对股票市场信息不对称的影响更为显著。我们的结果在一系列内生性和敏感性测试中保持稳健，并为信贷市场与股票市场之间的紧密联系提供了暗示性证据。
