<b>Does Stock Pledging by Controlling Shareholder Affect Tail Risk of Individual Stock? Evidence from China</b>.rar

We get the data used in our research from China Stock Market &amp; Accounting Research (CSMAR) database and Wind Database. In CSMAR database, we can get the information related to share pledge, controlling shareholders, SOE status and financial condition for independent variables and control variables. The market and individual stock closing prices to calculate the tail risk are obtained from the wind database.With a sample consisted of 21,921 firm-year observations from 2007 to 2018, we find that both the existence and the percentage of shares pledged by controlling shareholder are significantly negatively related to firms' tail risk in the share pledged years, and the results are robust to a variety of tests on PSM-DID, instrument variable, subsample selections and replace of independent variables. Furthermore, we find the controlling shareholders with pledged shares have the intention to whitewash the accounting information, which lead to the fall of the systematic tail risk.<br>