Abstract: The original intention of advertising is to increase product awareness and improve the enterprise's value. However, the advertising-induced abnormal volatility of stock price makes scholars link the advertisement expenditures with the stock price crash risk. For example, Luckin Coffee was exposed to forge a transaction of 2.2 billion yuan on April 2, 2020, including a false increase in advertising expenses of more than 460 million yuan, which led to a sharp fall of 85% in the stock price of Luckin Coffee. Another case is that the advertising expenses of Shapuaisi Pharma were nearly 900 million yuan from 2014 to 2017, accounting for nearly 30% of the operating revenue. The Food and Drug Administration revealed that the product's advertising exaggerated its efficacy and delayed patient treatment on December 4, 2017, ultimately leading to a sharp drop in the stock price on the same day. In addition, BYD Auto suffered from the “advertising door” event on July 12, 2018, in which Li Juan, the management of the enterprise, forged the company's seal and used the company's name to carry out advertising cooperation business, with a cumulative amount of up to 1.1 billion yuan, ultimately leading to a decline of 7.5% in BYD's share price.
The above cases indicate that in the context of the separation of ownership and management rights, corporate management may violate the wishes of the owners and the original intention of advertising investment, and excessively invest in advertising in pursuit of short-term benefits. Some managers may even take advantage of their positions to use the company's advertising investment as a self-interest tool for personal gain. The question that arises from this is: Can the increase in corporate advertising investment still achieve the goal of improving corporate performance and stabilizing the stock market price? Or is it that corporate advertising investment has become a self-interest tool for management, leading to an increase in advertising investment which not only fails to stabilize the company's stock price, but also exacerbates the risk of stock price collapse? Theoretically, appropriate advertising investment can improve product competitiveness, which is conducive to the stability of stock price, while excessive advertising investment may be a tool for managers to pursue a short-term benefit or cover up poor performance, thus inducing crash risk. The contribution of this paper is to provide a new perspective for the causes of stock price crash risk and the economic consequences of advertising investment.
According to the analysis above, using the panel data of all listed companies in China's A-share market from 2011 to 2019, this paper firstly studies the impact of advertising investment on stock price crash risk from an empirical perspective. We obtain corporate advertising expenditures from Wind database, and the rest of the variables' data from CSMAR database. The stock price crash risk is measured by negative coefficient of skewness and down-to-up volatility. This paper briefly analyzes the sample data based on descriptive statistics, and then uses the fixed effect model of Panel data for regression analysis. In the heterogeneity analysis section, all enterprises are classified according to information transparency, enterprise size, and enterprise nature to test whether there is cross-sectional difference in the impact of advertising investment on stock prices. The mechanism test uses the mediating effect model to explore whether advertising investment affects the stock price crash risk through the number of media reports and analysts' tracking. Finally, we examine the robustness of the benchmark regression results by changing the sample interval and core explanatory variable indicators.
Our search results show that the increase in advertising investment in this year will exacerbate the stock price crash risk in the following year in China. This result indicates that the manager of enterprises strategically pursues short-term benefits while neglecting the long-term growth of enterprise performance, leading to the increase of stock price crash risk; It also implies that advertising investment not only affects the product market, but also has spillover effects on the financial market. The spillover effect of advertising investment on stock prices is more significant in low information transparency, large enterprises and state-owned enterprises. The mechanism tests show that the spillover effect of advertising expenditures will be strengthened by increasing media reports and analyst track. It means that an increase in advertising investment will increase the number of media reports and analyst tracking, and the “sensationalism” of media reports and analyst optimism bias will further aggravate stock price crash risk. Our results are alive at different regression samples and alternative variable measures.
We conclude that advertising investment is a “double-edged sword”, and solving the principal-agent problem is the key to enlarging its benefit and preventing its negative impact. Therefore, our research results have strong policy implications.

Key words: crash risk, advertising expenditures, stock price, self-interest tool

摘要： 企业投放广告的初衷是增加产品知名度并提高企业价值,然而近期频繁爆发的广告费过高引致上市企业的股票价格异常波动,使得学术界将广告投入与股价崩盘风险联系起来。理论上适度广告投入可提高产品竞争力从而有利于股价稳定,而过度广告投入则可能是企业管理层寻求短期利益或掩饰经营不善的自利工具,从而加剧股价崩盘风险。本文基于我国A股市场所有上市公司2011—2019年的面板数据,首次从实证角度研究广告投入对股价崩盘风险的影响。研究结果发现:我国上市公司当年广告投入的增加会加剧次年股价崩盘风险的发生,说明广告投入不仅影响产品市场,还对金融市场具有溢出效应;广告投入对股票价格的这种溢出效应在信息透明度低、企业规模大和国有企业中更加显著;中介效应检验表明,广告投入增加会通过提高媒体报道数量和分析师跟踪数量来加剧股价崩盘风险;在变更回归样本和核心变量测度指标后,广告投入的溢出效应依然稳健。

关键词: 崩盘风险, 广告投入, 股票价格, 自利工具