Table 12 Definition of variables
From: Bank loan information and information asymmetry in the stock market: evidence from China
Variables | Definition |
|---|---|
PIN | Probability of information-based trades Easley et al. (2002). |
Loan | A dummy variable that equals 1 if a firm has at least one outstanding loan in a given month and equals 0 otherwise |
Loan size | Total amount of the loan (in million RMB) |
Tbank | A dummy variable that equals 1 if the lending bank is a joint-equity commercial bank and equals 0 otherwise |
OL | A dummy variable that equals 1 if a firm has at least one loan that fails to pay in a given month and equals 0 otherwise |
OL rate | OL rate is calculated as the overdue loans’ amounts divided by a firm’s total loan amounts |
OL Tbank | A dummy variable that equals 1 if the overdue loan is with a commercial bank and equals 0 otherwise |
OL Nbank | OL Nbank is the total number of banks, in which that firm has at least one overdue loan in a given month |
New loan | A dummy variable that equals 1 if a firm gets at least one new outstanding loan in a given month and equals 0 otherwise |
New loan size | Total amount of the new loans (in million RMB) |
New Tbank | A dummy variable that equals 1 if the lending bank that offers the new loans is a commercial bank and equals 0 otherwise |
NPL | A dummy variable that equals 1 if a firm has at least one non-performing loan in a given month and equals 0 otherwise |
NPL rate | NPL rate is calculated as the non-performing loan’s amount divided by a firm’s total loan amounts |
NPL Tbank | A dummy variable that equals 1 if the NPL loan is in a commercial bank and equals 0 otherwise |
NPL Nbank | NPL Nbank is the total number of banks in which that firm has at least one NPL loan in a given month |
Asset | The book value of the firm’s total assets. (in billion RMB) |
ROA | Return on asset (%) |
BTM | Book to market ratio is calculated as the firm’s book value divided by the firm’s market value |
Index 300 | Index 300 is a capitalization-weighted stock market index designed to replicate the performance of 300 stocks traded in the Shanghai and Shenzhen stock exchanges |
TM | A dummy variable that equals 1 if the firm is listed in Shenzhen main board and equals 0 otherwise |
ISR | Institutional investors holding ratio is calculated as the shares held by institutional investors divided by all shares of the firm |
Analyst | Analyst is the number of analysts covering the firm, calculated as the number of analysts with earnings forecasts for the current fiscal year |
Volume | Volume is the trading dollar volume in a given month (in million RMB) |
Volatility | Volatility is standard deviation of the return in a given month |
LAHL | A dummy variable that equals 1 if a firm is in the lowest quartile based on total assets and also in the highest quartile based on leverage, and equals 0 otherwise |
INTAN | Intangible asset ratio is calculated as intangible assets to total assets |
MC | MC is market conditions, calculated as the market trading volume divided by the total number of shares outstanding in a given month |
Leverage | Leverage is the ratio of long-term debt to total assets |
Z-Score | Altman’s (1968) Z-score |
TAN | Tangible asset ratio is calculated as tangible assets to total assets |