Corporate Crisis And Stock Abnormal Return: Research On The Influences Of Financial Characteristics And Executive Social Capital

There are many crises in the world we live in,so many reasons in the environment have made it difficult for crisis events to be predicted and controlled.This is especially true for companies,in the past few years,domestic and foreign corporate crisis have never stopped,and companies that have experienced crisis have been hit hard,some even went bankrupt.Not only will corporate finances and operations be affected,but the stock value of listed companies when a corporate crisis occurs.Therefore,it is of great significance to study the impact of corporate crisis on the value of corporate stocks and the impact of relevant factors on the cumulative abnormal return of corporate stocks.Based on the study of the stock market's reaction to corporate crises,this paper mainly concentrate on researching the influences of the corporate financial characteristics and the two types of corporate executives' social capital on the cumulative abnormal return(CAR)of corporate stocks.In the end,the interaction effect between related variables was studied.Specifically,this paper captured a total of 136,080 listing news of listed companies during the period 2011-2015 through the scripting language Python.On this basis,the news was screened by keyword search and manual reading,and finally,101 corporate crisis events were selected from corporate news.Observing the stock market's reaction to corporate crisis events through the abnormal return of corporate stocks,the results show that the stock market has negative feedback on corporate crisis events because the abnormal return rate on the day of the corporate crisis event and the next is significantly negative.Further,this paper studied the impact of corporate financial characteristics on the CAR of corporate stocks by establishing a regression model.It is found that the the regression coefficient of the size of the firm is significantly positive in the regression model,but the leverage and the market expectation of corporate is significantly negative.It means that,the size of the company can send a positive signal to the outside world in a corporate crisis,but the leverage of the corporate is the opposite.So,the firm size has a positive impact on the cumulative abnormal return rate of the company's stocks,and meanwhile the corporate leverage and the market expectation of the company have a negative impact.At the same time,there is a significant interaction effect between these three variables.The conclusions above show that the financial information of the company has an impact on the decision-making of investors.Then,this paper constructed the political connection index to measure the political relationship of the corporate with reference to relevant literature.In order to measure the alumni relationship of the corporate executives,this paper established the social network of alumni relationship by using a Python package named Networkx.After the social network was established,the location importance indicators of nodes in the network was mainly focused on.Referring to related research,this paper mainly uses the degree centrality and the betweenness centrality to measure the importance of nodes in the network.At the same time,the median of the two indicators of the executives of the same enterprise represents the importance level of the enterprise.On this basis,the effects of two types of corporate executives' social capital on the abnormal return of stocks and the interaction effect are studied through the regression model.It is found that the regression coefficient of the corporate political connection index,in the regression model,is significantly positive.So,it means that political connection of corporate can provide protection for corporate stock value in corporate crisis.Follow the same logic,the regression coefficients of degree centrality and betweenness centrality are also significantly positive,this is the evidence that alumni relations have a protective effect on corporate stocks.There is a significant complementary effect between political connections and alumni relationship,it tells us that the interaction of political connection and alumni relations can provide greater protection for corporate.Finally,the conclusions of the this paper were discussed,and it put forward constructive suggestions for the three groups of corporate,investors and government.It also had summarized the shortcomings of this paper and made lots of research prospects in the end.