Bank loan information and information asymmetry in the stock market:evidence from China  

作　　者：Yanyi Ye Yun Wang Xiaoguang Yang 

机构地区：[1]School of Economics and Management,Beijing University of Chemical Technology,Beijing 100029,China [2]School of Banking and Finance,University of International Business and Economics,Beijing 100029,China [3]Academy of Mathematics and Systems Science,Chinese Academy of Sciences,Beijing 100190,China [4]University of Chinese Academy of Sciences,Beijing 100049,China

出　　处：《Financial Innovation》2022年第1期1514-1541,共28页金融创新（英文）

基　　金：supported by grants from the National Natural Science Foundation of China(72103017,72192800);Fundamental Research Funds for the Central Universities(ZY2130);Funds for First-class Discipline Construction(XK1802-5);“the Fundamental Research Funds for the Central Universities”in UIBE(17DQ08).

摘　　要：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.

关 键 词：Bank loan information Information asymmetry Corporate transparency Loan default information PIN 

分 类 号：F832[经济管理—金融学]