 The impact of asset-liability maturity mismatch on stock returns: Evidence from China during 1998–2021Muqing Qiu, Yunxia Bai and Taoqin Chen Pacific-Basin Finance Journal, 2024, vol. 85, issue C Abstract: We examine the effect of asset-liability maturity mismatch on stock returns using a sample of Chinese listed firms during 1998–2021. Our results suggest that, on average, asset-liability maturity mismatch has a negative impact on the buy-and-hold abnormal returns of a stock, which persists after a series of endogeneity and robustness tests. Potential mechanisms tests show that investors' concerns about liquidity risk firm may face is the main reason for the results, particularly during a period of tight monetary policy, when a firm experiences a low internal cash-flow and when investors pay more attention to the liquidity risk. Further analysis shows the negative effect of maturity mismatch on stock returns is greater for non-SOEs than SOEs. We also find that the maturity mismatch strategy has a material impact on firms, which is manifested as the increase of financing risk and the decrease of operational performance. Overall, our findings are helpful to understand the negative effects of maturity mismatch in emerging markets and its asset pricing implications. Keywords: Maturity mismatches; Stock returns; Buy and hold abnormal return (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:85:y:2024:i:c:s0927538x24001100 DOI: 10.1016/j.pacfin.2024.102359 Access Statistics for this article Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee More articles in Pacific-Basin Finance Journal from Elsevier |
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