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

Financial Innovation

Table 4 Relationship between PIN and negative loan information

Variables	PIN
Variables	1	2	3	4
Intercept	0.3761***	0.3742***	0.3733***	0.3761***
Intercept	(10.51)	(10.47)	(10.41)	(10.51)
OL	0.0116***
OL	(2.61)
OL rate		0.0325***
OL rate		(3.22)
OL Tbank			0.0255**
OL Tbank			(2.53)
OL Nbank				0.0116***
OL Nbank				(2.61)
Asset	\(-\) 0.0101	\(-\) 0.0102	\(-\) 0.0100	\(-\) 0.0101
Asset	(\(-\) 1.09)	(\(-\) 1.12)	(\(-\) 1.08)	(\(-\) 1.09)
ROA	\(-\) 0.0001	\(-\) 0.0001	\(-\) 0.0001	\(-\) 0.0001
ROA	(\(-\) 0.54)	(\(-\) 0.47)	(\(-\) 0.43)	(\(-\) 0.54)
BTM	0.0218***	0.0225***	0.0226***	0.0218***
BTM	(3.45)	(3.59)	(3.58)	(3.45)
Index 300	\(-\) 0.0221***	\(-\) 0.0219***	\(-\) 0.0218***	\(-\) 0.0221***
Index 300	(\(-\) 5.04)	(\(-\) 4.99)	(\(-\) 4.95)	(\(-\) 5.04)
TM	0.0277	0.0280	0.0274	0.0277
TM	(1.15)	(1.17)	(1.14)	(1.15)
ISR	0.0105**	0.0105**	0.0106**	0.0105**
ISR	(2.20)	(2.20)	(2.20)	(2.20)
Analyst	\(-\) 0.0001	\(-\) 0.0001	\(-\) 0.0001	\(-\) 0.0001
Analyst	(\(-\) 1.15)	(\(-\) 1.17)	(\(-\) 1.17)	(\(-\) 1.15)
Volume	\(-\) 0.0570***	\(-\) 0.0570***	\(-\) 0.0570***	\(-\) 0.0570***
Volume	(\(-\) 14.89)	(\(-\) 14.94)	(\(-\) 14.88)	(\(-\) 14.89)
Volatility	\(-\) 0.0045	\(-\) 0.0006	\(-\) 0.0043	\(-\) 0.0045
Volatility	(\(-\) 0.05)	(\(-\) 0.01)	(\(-\) 0.05)	(\(-\) 0.05)
LAHL	0.0009	\(-\) 0.0007	0.0015	0.0009
LAHL	(0.10)	(\(-\) 0.08)	(0.17)	(0.10)
Year \(\times\) industry-fixed effect	Yes	Yes	Yes	Yes
Firm-fixed effect	Yes	Yes	Yes	Yes
Adjusted \(R^2\)	0.0683	0.0684	0.0684	0.0683
Obs.	26893	26893	26893	26893

This table reports the OLS results of the tests on the relationships between PIN and overdue loans. It represents the results of the regression: \(PIN_{i,t}=\alpha +\beta _{1}\times Loan\_default_{i,t}+\sum \beta _{i}\times Control_{i,t}+\varepsilon _{i,t}\). PIN is the measure for information asymmetry in the stock market. The variables for bad news in the loan market in this table are OL, OL rate, OL Tbank, and OL Nbank. 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