Corporate debt and Crash Risk in the brazilian stock market
DOI:
https://doi.org/10.16930/2237-766220243528Keywords:
Debt maturity, Stock Price Crash Risk, Financing StructureAbstract
This study aimed to analyze the relationship between the crash risk of Brazilian firms' stock prices and creditor monitoring through corporate debt maturity. Using a sample of non-financial companies with shares traded on the Brasil, Bolsa, Balcão (B3) stock exchange between 2010 and 2020. the data was examined through panel regressions estimated with clustered robust standard errors. Short-term debt maturity does not exhibit a statistically significant relationship with stock price crash risk. However, debt maturity diversification shows an inverse relationship with crash risk, indicating a reduction in this risk. Exploring the diversification of debt maturities may benefit both creditors and shareholders, underscoring its potential importance in corporate financial risk management strategies. Understanding crash risk while emphasizing the importance of debt maturity diversification helps safeguard creditors' interests and protect shareholder wealth. This study is the first to examine this relationship in the Brazilian context, offering valuable insights and implications for financial risk management.
References
Albanez, T., Valle, M. R. D., & Corrar, L. J. (2012). Fatores institucionais e assimetria informacional: influência na estrutura de capital de firmas brasileiras. Revista de Administração Mackenzie, 13, 76-105. https://doi.org/10.1590/S1678-69712012000200004 DOI: https://doi.org/10.1590/S1678-69712012000200004
Andreou, P. C., Antoniou C., J., Horton, & Louca, C. (2016). Corporate governance and firm-specific stock price crashes. European Financial Management, 22, 916-956. https://doi.org/10.1111/eufm.12084 DOI: https://doi.org/10.1111/eufm.12084
Baker, S. R., Bloom, N., & Davis, S. J. (2016). Measuring economic policy uncertainty. The Quarterly Journal of Economics, 131(4), 1593-1636. https://doi.org/10.1093/qje/qjw024 DOI: https://doi.org/10.1093/qje/qjw024
Barclay, M. J., & Smith, C. W. (1995). The behavior of individual investors. The Journal of Finance, 50(2), 609-631. https://doi.org/10.1111/j.1540-6261.1995.tb04797.x DOI: https://doi.org/10.1111/j.1540-6261.1995.tb04797.x
Bernardo, C. J., Albanez, T., & Securato, J. R. (2018). Macroeconomic and institutional factors, debt composition and capital structure of latin american companies. Brazilian Business Review, 15, 152-174. https://doi.org/10.15728/bbr.2018.15.2.4 DOI: https://doi.org/10.15728/bbr.2018.15.2.4
Beteto, D. L., & Bergmann, D. L. (2007). Análise dos efeitos de não-sincronia de negociação no mercado de capitais brasileiro. Brazilian Business Review, 4(1), 26-39. https://doi.org/10.15728/bbr.2007.4.1.2 DOI: https://doi.org/10.15728/bbr.2007.4.1.2
Brockman, P., Martin, X., & Unlu, E. (2010). Executive compensation and the maturity structure of corporate debt. Journal of Finance, 65(3), 1123-1161. https://doi.org/10.1111/j.1540-6261.2010.01563.x DOI: https://doi.org/10.1111/j.1540-6261.2010.01563.x
Callen, J. L., & Fang, X. (2015a). Religion and stock price crash risk. Journal of Financial and Quantitative Analysis, 50(1-2), 169-195. https://doi.org/10.1017/S0022109015000046 DOI: https://doi.org/10.1017/S0022109015000046
Callen, J. L., & Fang, X. (2015b). Short interest and stock price crash risk. Journal of Banking and Finance, 60, 181-194. https://doi.org/10.1016/j.jbankfin.2015.08.009 DOI: https://doi.org/10.1016/j.jbankfin.2015.08.009
Canbaloglu, B., Alp, O. S., & Gurgun, G. (2022). Debt maturity structure and stock price crash risk: The case of Turkiye. Borsa Istanbul Review, 22(5), 985-991. https://doi.org/10.1016/j.bir.2022.07.005 DOI: https://doi.org/10.1016/j.bir.2022.07.005
Chen, J., Hong, H., & Stein, J. (2001). Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices. Journal of Financial Economics, 61(3), 345-381. https://doi.org/10.1016/S0304-405X(01)00066-6 DOI: https://doi.org/10.1016/S0304-405X(01)00066-6
Cheng, C. A., Li, S., & Zhang, E. X. (2020). Operating cash flow opacity and stock price crash risk. Journal of Accounting and Public Policy, 39(3), 106-717. https://doi.org/10.1016/j.jaccpubpol.2020.106717 DOI: https://doi.org/10.1016/j.jaccpubpol.2020.106717
Cohen, L. J., Cornett, M. M., Marcus, A. J., & Tehranian., H. (2014). Bank earnings management and tail risk during the financial crisis. Journal of Money, Credit and Banking, 46, 171-197. https://doi.org/10.1111/jmcb.12101 DOI: https://doi.org/10.1111/jmcb.12101
Dang, V. A., Lee, E., Liu, Y., & Zeng, C. (2018). Corporate debt maturity and stock price crash risk. European Financial Management, 24(3), 451-484. https://doi.org/10.1111/eufm.12134 DOI: https://doi.org/10.1111/eufm.12134
Datta, S., Iskandar-Datta, M., & Raman, K. (2005). Managerial stock ownership and the maturity structure of corporate debt. Journal of Finance, 60(5), 2333-2350. https://doi.org/10.1111/j.1540-6261.2005.00800.x DOI: https://doi.org/10.1111/j.1540-6261.2005.00800.x
DeFond, M. L., Hung, M., & Li, S. (2015). Does mandatory IFRS adoption affect crash risk? The Accounting Review, 90, 265-299. https://doi.org/10.2308/accr-50859 DOI: https://doi.org/10.2308/accr-50859
Demirgüç-Kunt, A., & Levine, R. (2004). Financial structure and economic growth: A cross-country comparison of banks, markets, and development. MIT press.
Dimson, E. (1979). Risk measurement when shares are subject to infrequent trading. Journal of Financial Economics, 7(2), 197-226. https://doi.org/10.1016/0304-405X(79)90013-8 DOI: https://doi.org/10.1016/0304-405X(79)90013-8
Eça, J. P. A., & Albanez, T. (2022). A heterogeneidade da estrutura de dívida reduz o custo de capital?. Revista Contabilidade & Finanças, 33(90), e1428. https://doi.org/10.1590/1808-057x20211428.en DOI: https://doi.org/10.1590/1808-057x20211428.en
Elsayed, M. S. H. (2021). The impact of debt structure on future stock price crash risk: evidence from Egypt. Alexandria Journal of Accounting Research, 5(1), 668-714.
Francis, J. R., Pinnuck, M. L., & Watanabe, O. (2014). Auditor style and financial statement comparability. The Accounting Review, 89, 605-633. https://doi.org/10.2308/accr-50642 DOI: https://doi.org/10.2308/accr-50642
Funchal, B., & Monte-Mor, D. S. (2016). Corporate governance and credit access in Brazil: The sarbanes-oxley act as a natural experiment. Corporate Governance: An International Review, 24(5), 528-547. https://doi.org/10.1111/corg.12151 DOI: https://doi.org/10.1111/corg.12151
Garcia Junior, D., Clemente, A., Souza, A., & Soares, R. O. (2018). A relação entre independência do conselho de administração e maturidade da dívida em empresas com ações listadas na BMFBovespa. Pensamento & Realidade, 33(2), 01-22.
Giannetti, M. (2003). Do better institutions mitigate agency problems? Evidence from corporate finance choices. Journal of Financial and Quantitative Analysis, 38, 185-212. https://doi.org/10.2307/4126769 DOI: https://doi.org/10.2307/4126769
Guedes, J., & Opler, T. (1996). The determinants of the maturity of corporate debt issues’. Journal of Finance, 51(5), 1809-1833. https://doi.org/10.1111/j.1540-6261.1996.tb05227.x DOI: https://doi.org/10.1111/j.1540-6261.1996.tb05227.x
Gujarati, D. N., & Porter, D. C. (2011). Econometria básica. AMGH.
Habib, A., Hasan, M. M., & Jiang, H. (2018). Stock price crash risk: review of the empirical literature. Accounting and Finance, 58, 211-251. https://doi.org/10.1111/acfi.12278 DOI: https://doi.org/10.1111/acfi.12278
Haider, M. J., Ahmad, M., & Wu, Q. (2024). The role of debt maturity in stock price crash risk: a comparison of developing and developed Asian economies. Journal of Asian Business and Economic Studies, 31(4), 307-321. https://doi.org/10.1108/JABES-06-2023-0198 DOI: https://doi.org/10.1108/JABES-06-2023-0198
Harford, J., Klasa, S., & Maxwell, W. (2014). Refinancing risk and cash holdings’. Journal of Finance, 69(3), 975-1012. https://doi.org/10.1111/jofi.12133 DOI: https://doi.org/10.1111/jofi.12133
Harvey, C. R., & Siddique, A. (2000). Conditional skewness in asset pricing tests. The Journal of finance, 55(3), 1263-1295. https://doi.org/10.1111/0022-1082.00247 DOI: https://doi.org/10.1111/0022-1082.00247
Hasan, M., Rahman, D., Taylor, G., & Oliver, B. (2020). Crash risk and debt maturity: evidence from australia. International Journal of Managerial Finance, 17(3), 377-400. https://doi.org/10.1108/IJMF-12-2019-0467 DOI: https://doi.org/10.1108/IJMF-12-2019-0467
Hutton, A. P., Marcus, A. J., & Tehranian, H. (2009). Opaque financial reports, r2, and crash risk. Journal of Financial Economics, 94, 67-86. https://doi.org/10.1016/j.jfineco.2008.10.003 DOI: https://doi.org/10.1016/j.jfineco.2008.10.003
Jadiyappa, N., Hickman, L. E., Jyothi, P., Vunyale, N., & Sireesha, B. (2020). Does debt diversification impact firm value? evidence from India. International Review of Economics & Finance, 67, 362-377. https://doi.org/10.1016/j.iref.2020.02.002 DOI: https://doi.org/10.1016/j.iref.2020.02.002
Jensen, M., & Meckling, W. (1976). Theory of the firm: managerial behavior, agency costs, and ownership structure. Journal of Financial Economics, 3(4), 305-360. https://doi.org/10.1016/0304-405X(76)90026-X DOI: https://doi.org/10.1016/0304-405X(76)90026-X
Jin, L., & Myers, C. S. (2006). R2, around the world: New theory and new tests. Journal of Financial Economics, 79(2), 257-292. https://doi.org/10.1016/j.jfineco.2004.11.003 DOI: https://doi.org/10.1016/j.jfineco.2004.11.003
Johnson, S. A. (2003). Debt maturity and the effects of growth opportunities and liquidity risk on leverage. Review of Financial Studies, 16(2), 209-236. https://doi.org/10.1093/rfs/16.1.0209 DOI: https://doi.org/10.1093/rfs/16.1.209
Kim, J. B., & Zhang, L. (2015). Accounting conservatism and stock price crash risk: firm-level evidence. Contemporary Accounting Research, 33, 412-441. https://doi.org/10.1111/1911-3846.12112 DOI: https://doi.org/10.1111/1911-3846.12112
Kim, J. B., Li, Y., & Zhang, L. (2011a). CFO versus CEO: Equity incentives and crashes. Journal of Financial Economics, 101(3), 713-730. https://doi.org/10.1016/j.jfineco.2011.03.013 DOI: https://doi.org/10.1016/j.jfineco.2011.03.013
Kim, J. B., Li, Y., & Zhang, L. (2011b). Corporate tax avoidance and stock price crash risk: Firm-level analysis. Journal of Financial Economics, 100(3), 639-662. https://doi.org/10.1016/j.jfineco.2010.07.007 DOI: https://doi.org/10.1016/j.jfineco.2010.07.007
Kim, Y., Li, H., & Li, S. (2014). Corporate social responsibility and stock price crash risk. Journal of Banking and Finance, 43(6), 1-13. https://doi.org/10.1016/j.jbankfin.2014.02.013 DOI: https://doi.org/10.1016/j.jbankfin.2014.02.013
Kothari, S. P., Leone, A. J., & Wasley, C. E. (2005). Performance matched discretionary accrual measures. Journal of Accounting and Economics, 39(1), 163-197. https://doi.org/10.1016/j.jacceco.2004.11.002 DOI: https://doi.org/10.1016/j.jacceco.2004.11.002
Lee, W., & Wang, L. (2017). Do political connections affect stock price crash risk? Firm-level evidence from China. Review of Quantitative Finance and Accounting, 48, 643-676. https://doi.org/10.1007/s11156-016-0563-3 DOI: https://doi.org/10.1007/s11156-016-0563-3
Luo, Y., & Zhang, C. (2020). Economic policy uncertainty and stock price crash risk. Research in International Business and Finance, 51, 101112. https://doi.org/10.1016/j.ribaf.2019.101112 DOI: https://doi.org/10.1016/j.ribaf.2019.101112
Miller, M. H., & Modigliani, F. (1961). Dividend policy, growth, and the valuation of shares. the Journal of Business, 34(4), 411-433. https://www.jstor.org/stable/2351143 DOI: https://doi.org/10.1086/294442
Modigliani, F., & Miller, M. H. (1958). The cost of capital, corporation finance and the theory of investment. The American Economic Review, 48(3), 261-297. https://www.jstor.org/stable/1809766
Moreira, M. L. M., & Brito, R. D. (2006). Fatores determinantes da duração da dívida corporativa no Brasil. Revista de Economia e Administração, 5(4). DOI: https://doi.org/10.11132/rea.2002.137
Ortiz-Molina, H., & Penas, M. F. (2008). Lending to small businesses: The role of loan maturity in addressing information problems. Small Business Economics, 30(4), 361-383. https://doi.org/10.1007/s11187-007-9053-2 DOI: https://doi.org/10.1007/s11187-007-9053-2
Piotroski, J. D., Wong, T. J., & Zhang, T. (2015). Political incentives to suppress negative information: evidence from chinese listed firms. Journal of Accounting Research, 53, 405-459. https://doi.org/10.1111/1475-679X.12071 DOI: https://doi.org/10.1111/1475-679X.12071
Rajan, R., & Winton, A. (1995). Covenants and collateral as incentives to monitor. Journal of Finance, 50(4), 1113-1146. https://doi.org/10.1111/j.1540-6261.1995.tb04052.x DOI: https://doi.org/10.1111/j.1540-6261.1995.tb04052.x
Rocca, C. A., Santos Junior, L. M., Brito, M., & Fumagalli, F. (2019). Como as empresas abertas se financiam. Centro de Estudos de Mercado de Capitais.
Stohs, M. H., & Mauer, D. C. (1996). The determinants of corporate debt maturity structure. Journal of Business, 279-312. https://www.jstor.org/stable/2353370 DOI: https://doi.org/10.1086/209692
Tarantin Junior, W., & Valle, M. R. d. (2015). Estrutura de capital: o papel das fontes de financiamento nas quais companhias abertas brasileiras se baseiam. Revista Contabilidade & Finanças, 26(69), 331-344. https://doi.org/10.1590/1808-057x201512130 DOI: https://doi.org/10.1590/1808-057x201512130
Wang, J. (2017). Commercial credit financing and stock price crash risk-from the perspective of debt governance effect. International Journal of Business and Social Science, 8(9), 149-156.
Wooldridge, J. M. (2011). Introdução à econometria: uma abordagem moderna. Pioneira Thomson Learning.
Zhang, M., Xie, L., & Xu, H. (2016). Corporate philanthropy and stock price crash risk: evidence from china. Journal of Business Ethics, 139, 595-617. https://doi.org/10.1007/s10551-015-2647-8 DOI: https://doi.org/10.1007/s10551-015-2647-8
Downloads
Published
How to Cite
Issue
Section
License
Copyright (c) 2024 Revista Catarinense da Ciência Contábil
This work is licensed under a Creative Commons Attribution 4.0 International License.
The copyright for articles published in this journal belongs to the author (s), with first publication rights assigned to Revista Catarinense da Ciência Contábil. Due to appearing in this publicly accessible journal, articles are free to use, with mandatory recognition of the original authorship and initial publication in this magazine and for educational and non-commercial applications. The magazine chose to use published works for non-commercial purposes, including the right to submit or work for publicly accessible databases. The content of published articles is the sole and exclusive responsibility of the authors. - The author (s) authorize (s) a publication of the article in the journal; - The author (s) guarantee (s) that a contribution is original and unpublished and that it is not being evaluated in another magazine (s); - A magazine is not responsible for the opinions, ideas and concepts emitted in the texts, for the full responsibility of the author (s); - It is reserved to the editors or the right to make textual adjustments and to adjust the article to the publication rules.
This work is licensed under a Creative Commons Atribuição-NãoComercial-CompartilhaIgual 4.0 Internacional.
