Do Financial Liabilities Matter in “Size Effect”? Evidence from the Chinese A-Share Market

Xiaocui Deng and Xiaojian Su ()
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Xiaocui Deng: School of Economics and Business Foreign Languages, Wuhan Technology and Business University, Wuhan 430070, China
Xiaojian Su: College of Finance and Statistics, Hunan University, Changsha 410082, China

Sustainability, 2023, vol. 15, issue 4, 1-11

Abstract: Financial liabilities, as an important part of the capital structure, are closely related to the value creation and scale of growth of a company. To test whether financial liabilities affect the “size effect” of company value, this paper employs the enterprise value factor, i.e., a size factor increasing financial liabilities, to study the performance of the company in the Chinese securities market. Taking the stocks of listed companies in the Chinese A-share stock market from 2000 to 2019 as samples, this paper applies the asset pricing models for an empirical study of enterprise value. These results show that: (i) the excess return of the portfolio constructed by the enterprise value is negative and significantly different from zero, which presents the robustness of “size effect” on the attribute of financial liabilities; (ii) additionally, the “size effect” also exists in the subsamples after the financial events occurred; (iii) the results still robust while controlling the risk factors of the asset pricing models respectively.

Keywords: enterprise value; financial liabilities; excess return; financial events (search for similar items in EconPapers)
JEL-codes: O13 Q Q0 Q2 Q3 Q5 Q56 (search for similar items in EconPapers)
Date: 2023
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