Market Manipulation and Corporate Risk‐Taking
研究市场操纵如何降低企业风险承担，通过损害市场质量（降低流动性、价格信息含量，增加错误定价）并经由阻碍管理者价格学习和提高资本成本两条渠道发挥作用。
ABSTRACT We investigate the impact of market manipulation on corporate risk‐taking. We identify suspicious market manipulation in China's stock market using a detection model for closing price manipulation and adopt the closing auction mechanism reform, launched by the Shanghai Stock Exchange in 2018, as an exogenous policy shock that curbs manipulation. We find that market manipulation significantly reduces corporate risk‐taking. A 1‐standard‐deviation increase in manipulation frequency leads to a decline in the standard deviation of return on assets (ROA) and return on sales (ROS) by 26.2% and 24.4% of their respective sample means. Mechanism tests show that market manipulation deteriorates market quality (reducing liquidity and price informativeness and increasing mispricing), and further decreases corporate risk‐taking through two channels: impeding managerial price‐learning and raising the cost of capital. Our study reveals the detrimental effects of market manipulation on the real economy and its mechanisms, and provides new evidence for the feedback effect.