Bank loan information and information asymmetry in the stock market: evidence from China

Financial Innovation

Table 2 Relationship between PIN and positive loan information

Variables	PIN
Variables	1	2	3
Intercept	0.2211***	0.3144***	0.3148***
Intercept	(8.45)	(11.42)	(11.44)
Loan	\(-\) 0.0028*
Loan	(\(-\) 1.66)
Loan size		\(-\) 0.0023**
Loan size		(\(-\) 2.22)
Tbank			\(-\) 0.0028*
Tbank			(\(-\) 1.70)
Asset	\(-\) 0.0158*	\(-\) 0.0084	\(-\) 0.0132
Asset	(\(-\) 1.88)	(\(-\) 0.92)	(\(-\) 1.48)
ROA	0.0002*	\(-\) 0.0002	\(-\) 0.0002
ROA	(1.66)	(\(-\) 1.60)	(\(-\) 1.59)
BTM	0.0589***	0.0257***	0.0255***
BTM	(14.10)	(4.95)	(4.91)
Index 300	\(-\) 0.0124***	\(-\) 0.0230***	\(-\) 0.0230***
Index 300	(\(-\) 4.08)	(\(-\) 6.82)	(\(-\) 6.84)
TM	\(-\) 0.0962*	0.1259***	0.1124***
TM	(\(-\) 1.89)	(5.75)	(5.15)
ISR	0.0430***	0.0108***	0.0110***
ISR	(14.00)	(3.01)	(3.07)
Analyst	\(-\) 0.0001**	\(-\) 0.0001	\(-\) 0.0001
Analyst	(\(-\) 2.55)	(\(-\) 1.38)	(\(-\) 1.40)
Volume	\(-\) 0.0431***	\(-\) 0.0592***	\(-\) 0.0592***
Volume	(\(-\) 15.43)	(\(-\) 19.21)	(\(-\) 19.20)
Volatility	0.0050	\(-\) 0.0068	\(-\) 0.0078
Volatility	(0.09)	(\(-\) 0.11)	(\(-\) 0.12)
LAHL	0.0018	0.0032	0.0033
LAHL	(0.32)	(0.64)	(0.65)
Year \(\times\) industry-fixed effect	Yes	Yes	Yes
Firm-fixed effect	Yes	Yes	Yes
Adjusted \(R^2\)	0.0596	0.0792	0.0791
Obs.	43525	43525	43525

This table reports the ordinary least squares (OLS) results of the tests on the relationship between PIN and positive loan information. It represents the results of the regression: \(PIN_{i,t}=\alpha +\beta _{1}\times Positive\_loan\_information_{i,t}+\sum \beta _{i}\times Control_{i,t}+\varepsilon _{i,t}\). PIN is the measure for information asymmetry in the stock market. The loan information variables are Loan, Loan size, and Tbank. The t-statistics reported are based on standard errors clustered by firm. Symbols *, **, and *** indicate significance at the 10%, 5%, and 1% levels, respectively. See Table 12 of Appendix 2 for variable definitions