IDEAS home Printed from https://ideas.repec.org/a/eee/pacfin/v85y2024ics0927538x24001100.html
   My bibliography  Save this article

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

Author

Listed:
  • Qiu, Muqing
  • Bai, Yunxia
  • Chen, Taoqin

Abstract

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.

Suggested Citation

  • Qiu, Muqing & Bai, Yunxia & Chen, Taoqin, 2024. "The impact of asset-liability maturity mismatch on stock returns: Evidence from China during 1998–2021," Pacific-Basin Finance Journal, Elsevier, vol. 85(C).
    • Handle: RePEc:eee:pacfin:v:85:y:2024:i:c:s0927538x24001100
    DOI: 10.1016/j.pacfin.2024.102359
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0927538X24001100
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.pacfin.2024.102359?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    Maturity mismatches; Stock returns; Buy and hold abnormal return;
    All these keywords.

    JEL classification:

    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • G34 - Financial Economics - - Corporate Finance and Governance - - - Mergers; Acquisitions; Restructuring; Corporate Governance
    • G38 - Financial Economics - - Corporate Finance and Governance - - - Government Policy and Regulation

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:pacfin:v:85:y:2024:i:c:s0927538x24001100. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/pacfin .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.