Mechanism analysis.

This paper investigates the link between trade policy uncertainty (TPU) and stock price crash risk in Chinese listed firms. Using a novel firm-level TPU index derived from annual reports between 2001 and 2023, we show that heightened TPU significantly elevates crash risk, robust across multiple specifications and measures. The effect is particularly pronounced in private firms, those with CEO duality, internationalized firms, and those audited by non-Big Four auditors. Mechanism tests reveal that TPU exacerbates crash risk through discretionary accruals, suppressed exports, investor sentiment distortions, analyst forecast bias, and information asymmetry. Importantly, market liberalization and digital transformation act as effective buffers. Our findings highlight TPU as a key determinant of firm-level fragility and extend the literature on uncertainty by uncovering the micro-level channels through which trade policy shocks destabilize capital markets, offering actionable insights for policymakers and investors.本文聚焦中国上市公司贸易政策不确定性（Trade Policy Uncertainty，TPU）与股价崩盘风险的关联。本研究采用2001年至2023年上市公司年报构建的新型企业层面TPU指数，实证发现TPU水平上升会显著推高股价崩盘风险，该结论在多种模型设定与指标度量下均保持稳健。该效应在民营企业、两职合一（CEO duality）的企业、国际化企业以及由非国际四大会计师事务所审计的企业中表现得尤为显著。机制检验结果显示，TPU通过操控性应计利润（discretionary accruals）、出口抑制、投资者情绪扭曲、分析师预测偏差以及信息不对称这几条路径加剧股价崩盘风险。值得注意的是，市场自由化与数字化转型能够对该负面效应起到有效缓冲作用。本研究表明，TPU是影响企业层面脆弱性的关键决定因素；同时，本研究通过揭示贸易政策冲击破坏资本市场稳定的微观传导渠道，拓展了不确定性相关研究范畴，可为政策制定者与投资者提供具有实操指导意义的决策参考。