Causal Impact of Stock Price Crash Risk on Cost of Equity: Evidence from Chinese Markets

保存先:

書誌詳細
出版年:	Economies vol. 13, no. 6 (2025), p. 158-182
第一著者:	Zonon Babatounde Ifred Paterne
その他の著者:	Wang, Xianzhi, Chen, Chuang, Bouraima, Mouhamed Bayane
出版事項:	MDPI AG
主題:	China Diversification Stock prices Market segmentation Valuation Institutional investments Costs Hypotheses Operating leverage Bull markets Causality Corporate governance Econometrics Equity Asymmetry Liquidity Investor behavior
オンライン･アクセス:	Citation/Abstract Full Text Full Text - PDF
タグ:	タグ追加タグなし, このレコードへの初めてのタグを付けませんか!

その他の書誌記述
抄録:	This study investigates the causal impact of stock price crash risk on the cost of equity (COE) in China’s segmented A- and B-share markets with an emphasis on ownership structures and market regimes. Employing a bootstrap panel Granger causality framework, Markov-switching dynamic regression, and panel threshold regression models, the analysis reveals that heightened crash risk significantly increases COE, with the effects being more pronounced for A-shares because of domestic investors’ heightened risk sensitivity. This relationship further intensifies in bull markets, where investor optimism amplifies downside risk perceptions. Ownership segmentation plays a critical role, as foreign investors in B-shares exhibit weaker reliance on firm-level valuation metrics, favoring broader risk-diversification strategies. These findings offer actionable insights into corporate risk management, investor decision making, and policy formulation in segmented and emerging equity markets.
ISSN:	2227-7099
DOI:	10.3390/economies13060158
ソース:	ABI/INFORM Global