文献类型：期刊文献

英文题名：The impact of asset-liability maturity mismatch on stock returns: Evidence from China during 1998-2021

作者：Qiu, Muqing[1];Bai, Yunxia[2];Chen, Taoqin[3]

机构：[1]East China Univ Sci & Technol, Business Sch, Shanghai, Peoples R China;[2]Tongji Univ, Sch Econ & Management, Shanghai, Peoples R China;[3]Shanghai Univ, SILC Business Sch, Shanghai, Peoples R China

年份：2024

卷号：85

外文期刊名：PACIFIC-BASIN FINANCE JOURNAL

收录：;WOS:【SSCI(收录号:WOS:001217514000001)】；

基金：This paper is part of the research results of the Youth Program of the National Natural Science Foundation of China (Project #72102071) . Financial support from the National Natural Science Foundation of China (Project #71472138) and the China Post- doctoral Science Foundation (Project #2018M640353) is acknowledged.

语种：英文

外文关键词：Maturity mismatches; Stock returns; Buy and hold abnormal return

摘要：We examine the effect of asset -liability maturity mismatch on stock returns using a sample of Chinese listed firms during 1998 - 2021. Our results suggest that, on average, asset -liability maturity mismatch has a negative impact on the buy -and -hold abnormal returns of a stock, which persists after a series of endogeneity and robustness tests. Potential mechanisms tests show that investors' concerns about liquidity risk firm may face is the main reason for the results, particularly during a period of tight monetary policy, when a firm experiences a low internal cash -flow and when investors pay more attention to the liquidity risk. Further analysis shows the negative effect of maturity mismatch on stock returns is greater for non-SOEs than SOEs. We also find that the maturity mismatch strategy has a material impact on firms, which is manifested as the increase of financing risk and the decrease of operational performance. Overall, our findings are helpful to understand the negative effects of maturity mismatch in emerging markets and its asset pricing implications.