《保险研究》20231008-《全面风险管理与股价崩盘风险：基于信息传递和信号效应双重视角的实证分析》（王正文、段紫霞）

［摘   要］全面风险管理是一种新型风险管理模式，在抑制上市公司股价崩盘风险方面的作用逐渐成为学术界关注的焦点。本文基于2008～2021年我国非金融类上市公司数据，实证检验全面风险管理对股价崩盘风险的影响及作用机制。实证结果表明，实施全面风险管理能够有效降低股价崩盘风险，此结论在经过一系列稳健性检验和内生性处理后依然成立；异质性检验发现，实施全面风险管理对处于金融发达地区及股价波动性较大的上市公司的崩盘风险具有更显著的抑制作用；机制分析发现，实施全面风险管理可以通过信息传递、信号效应两种机制有效抑制股价崩盘风险。本研究为全面风险管理对股价崩盘风险的影响提供了经验证据，也为防范系统性金融风险、维护市场稳定提供了政策启示。

［关键词］全面风险管理；股价崩盘风险；信号传递；信息效应

［基金项目］武汉大学自主科研项目(人文社会科学)“公司风险管理与企业创新:来自Ａ股上市公司的研究”(2020SK038)。

［作者简介］王正文，武汉大学经济与管理学院副教授、武汉大学宁波国家保险发展研究院研究员，研究方向：保险经济学与风险管理；段紫霞(通讯作者)，中国人民大学财政金融学院硕士研究生，研究方向：风险管理。

Enterprise Risk Management and Stock Price Collapse Risk:An Empirical Analysis Based on the Dual Perspectives of Information Transmission and Signal Effects

WANG Zheng-wen,DUAN Zi-xia

Abstract：Enterprise risk management is a new type of risk management model,and its role in suppressing the risk of stock price collapse of listed companies has gradually become a focus of academic attention.This article is based on data from non-financial listed companies in China from 2008 to 2021 to empirically test the impact and mechanism of enterprise risk management on stock price collapse risk.The empirical results indicate that implementing enterprise risk management can effectively reduce the risk of stock price collapse,and this conclusion remains valid after a series of robustness tests and endogeneity treatments.Heterogeneity testing finds that implementing enterprise risk management has a more significant inhibitory effect on the collapse risk of listed companies located in financially developed regions and with high stock price volatility.Mechanism analysis has found that implementing enterprise risk management can effectively suppress the risk of stock price collapse through two mechanisms:information transmission and signal effect.The research in this article provides empirical evidences for the impact of enterprise risk management on the risk of stock price collapse,and also provides policy insights for preventing systemic financial risks and maintaining market stability.

Key words：enterprise risk management;stock price collapse risk;information transmission;signal effects