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The impact of rollover restriction on stock price crash risk

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  • Wang, Xiaoxiao
  • Liu, Haiming

Abstract

This study investigates the impact of short-term loan rollover restrictions on stock price crash risk using a quasi-natural experiment of China's 2007 regulatory change. Our baseline results show that the rollover restriction reduces stock price crash risk. This effect is more pronounced for firms with higher agency costs or firms with a higher risk of government intervention. Transmission mechanism tests support the idea that rollover restrictions decrease stock price crash risk through information asymmetry and agency cost channels via enhanced monitoring. However, the rollover restriction also leads to a higher liquidity risk, although it does not dominate.

Suggested Citation

  • Wang, Xiaoxiao & Liu, Haiming, 2022. "The impact of rollover restriction on stock price crash risk," Pacific-Basin Finance Journal, Elsevier, vol. 74(C).
    • Handle: RePEc:eee:pacfin:v:74:y:2022:i:c:s0927538x22000919
    DOI: 10.1016/j.pacfin.2022.101796
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    More about this item

    Keywords

    Loan rollover; Debt maturity; Stock price crash risk; Information asymmetry; Agency costs;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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