Limited Arbitrage,Corporate Risk-taking And Stock Price Crash Risk

With the fourth plenary session of the 19 th Central Committee of the Communist Party of China on the concept of “improving the modern financial system with high adaptability,competitiveness and inclusiveness,and effectively preventing and resolving financial risks” of financial governance,effective prevention and resolution of financial risks has become the focus of financial research.Frequent stock price crashes are one of the important embodiments of financial risk,and the root cause of its outbreak lies in the generation and concentrated outbreak of bad news,and corporate risk-taking is an important source of bad news,so it is particularly important to study the impact of corporate risk-taking on the risk of stock price crash.Due to the particularity of China’s A-share market trading system,the effectiveness of the arbitrage mechanism in China’s stock market is limited to a certain extent,resulting in the inability of stock prices to quickly return to their true value,which has an important impact on the risk-taking behavior of enterprises.Therefore,based on limited arbitrage,this paper studies the relationship between corporate risk-taking and stock price crash risk.Firstly,this paper sorts out the relevant literature of corporate risk-taking,stock price crash risk and limited arbitrage,and analyzes the influencing factors of the three and the consequences of corporate risk-taking and limited arbitrage;Then,based on the efficient market hypothesis,asymmetric information theory,the principal-agent theory andthe limited arbitrage theory,this paper puts forward research hypotheses,discusses the relationship between corporate risk-taking and stock price crash risk,and the impact of limited arbitrage on the relationship between corporate risk-taking and stock price crash risk,and establishes a model according to the hypotheses.Make descriptive analysis,correlation analysis,regression analysis and robustness test on the sorted data of China’s A-share non-financial listed companies,and finally make a judgment on the research hypothesis.In addition,this paper further studies the relationship between corporate risk-taking and stock price crash risk based on ownership heterogeneity,and further studies the relationship between corporate risk-taking and stock price crash risk under the background of limited arbitrage based on industry heterogeneity,and draws relevant conclusions.The following conclusions are drawn in this paper: first,the risk-taking behavior of enterprises significantly aggravates the risk of stock price crashes;second,limited arbitrage will enhance the positive relationship between corporate risk-taking and a stock price crash;third,the risk-taking behavior of state-owned enterprises has a more significant impact on the risk of stock price collapse;fourth,in different industries,the impact of limited arbitrage on the relationship between corporate risk-taking and stock price crash risk is different.Finally,Finally,according to the research conclusions,put forward relevant suggestions.