报告题目:Stock Price Crashes along the Supply Chain

报 告 人:Fangming Xu(Senior Lecturer ofFinance, University of Bristol)

时      间:2017年5月5日(周五)下午14:00-15:30

地      点:岭南堂黄炳礼会议室

语      言:中文+英文

 

摘要:

This paper examines whether stock price crashes are contagious across firms via customer-supplier relationships. We find evidence that stock price crashes transmit from major customers to suppliers with a delay of up to two weeks. Moreover, this effect occurs only when investor attention is limited and cannot be explained by information opacity of the affected suppliers. Further analysis shows that a long-short trading strategy based on this effect generates significantly positive abnormal returns. In addition, major customers’ crash risk can significantly predict the supplier firm being delisted or merged in the future. Our results are robust to a battery of sensitivity tests.

 

资料下载:/UploadFiles/xsbg/2017/5/201705021044158448.pdf