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

Financial Innovation

Table 5 Market conditions analysis

Variables	PIN
Variables	1	2	3
Panel A: Loans on information asymmetry in the stock market in different market conditions
Loan	\(-\) 0.0070*
Loan	(\(-\) 2.05)
Loan\(\times\)MC	0.0051
Loan\(\times\)MC	(1.06)
Loan size		\(-\) 0.0028**
Loan size		(\(-\) 2.37)
Loan size \(\times\) MC		0.0011
Loan size \(\times\) MC		(0.92)
Tbank			\(-\) 0.0099***
Tbank			(\(-\) 3.10)
Tbank \(\times\) MC			0.0123***
Tbank \(\times\) MC			(2.75)
Controls	Yes	Yes	Yes
Year \(\times\) industry-fixed effect	Yes	Yes	Yes
Firm-fixed effect	Yes	Yes	Yes
Adjusted \(R^2\)	0.0597	0.0799	0.0800
Obs.	43525	43525	43525

Variables	PIN
Variables	1	2	3	4
Panel B: Overdue loans on information asymmetry in the stock market in different market conditions
OL	0.0255***
OL	(2.68)
OL \(\times\) MC	\(-\) 0.0233*
OL \(\times\) MC	(\(-\) 1.90)
OL rate		0.0523***
OL rate		(3.04)
OL rate \(\times\) MC		\(-\) 0.0341*
OL rate \(\times\) MC		(\(-\) 1.94)
OL Tbank			0.0518**
OL Tbank			(2.09)
OL Tbank \(\times\) MC			\(-\) 0.0430
OL Tbank \(\times\) MC			(\(-\) 1.54)
OL Nbank				0.0255***
OL Nbank				(2.68)
OL Nbank \(\times\) MC				\(-\) 0.0233*
OL Nbank \(\times\) MC				(\(-\) 1.90)
Controls	Yes	Yes	Yes	Yes
Year \(\times\) industry-fixed effect	Yes	Yes	Yes	Yes
Firm-fixed effect	Yes	Yes	Yes	Yes
Adjusted \(R^2\)	0.0663	0.0663	0.0663	0.0663
Obs.	26893	26893	26893	26893

This table reports the OLS results of the tests on the relationships between PIN and bank loan information in different market conditions. It represents the results of the regression: \(PIN_{i,t}=\alpha +\beta _{1}\times Positive\_loan\_information_{i,t}/Loan\_default_{i,t}+\beta _{2}\times Positive\_loan\_information_{i,t}/Loan\_default_{i,t}\times MC_{i,t}+\sum \beta _{i}\times Control_{i,t}+\varepsilon _{i,t}\), with PIN as a measure for information asymmetry in the stock market and MC as a variable representing market turnover. Panel A provides the regressions of loans on information asymmetry in the stock market in different market conditions. Panel B provides the regressions of overdue loans on information asymmetry in the stock market in different market conditions. 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