Stock price contagion effects through investment banks
Stock price contagion effects through investment banks
复制标题
通过投资银行的股价传染效应
DOI：
10.1080/00036846.2021.1931004
复制
发表时间：
2021
影响因子：
2.2
通讯作者：
Bing Zhu
中科院分区：
文献类型：
--
作者：
Yanan Zhang;Bing Zhu
摘要本文研究了股票市场投资者对与欺诈公司共享同一家投资银行的非欺诈公司的反应。本文以2003 - 2018年中国上市公司为研究样本，研究发现，因IPO或并购欺诈而受到处罚的公司会导致同一投资银行的非欺诈公司（非欺诈传染公司）股价下跌。研究结果还表明，股票价格的下降是更明显的低质量的投资银行，和投资者施加更大的惩罚，股票价格时，非欺诈性客户公司的盈利质量较低，较弱的公司治理，和较高的信息不对称。此外，我们证明了非欺诈传染的公司更有可能犯下会计欺诈，并表现出较低的长期上市后/并购后的业绩。总体而言，研究结果表明，一个重要的股票价格传染效应发生在投资银行的水平。
ABSTRACT This paper investigates how stock market investors react to non-fraudulent firms that share the same investment bank with fraudulent companies. Using a Chinese sample from the period of 2003 to 2018, we find that firms penalized for IPO or M&A fraud induce stock price declines among non-fraudulent firms which share the same investment banks (non-fraudulent contagion firms). The results also show that stock price declines are more pronounced for low-quality investment banks, and investors impose larger penalties on stock prices when non-fraudulent client firms are of lower earnings quality, weaker corporate governance, and higher information asymmetry. Furthermore, we demonstrate that the non-fraudulent contagion firms are more likely to commit accounting fraud and exhibit inferior long-term post-IPO/post-M&A performance. Overall, the findings indicate an important stock price contagion effect occurring at the investment bank level.