Abstract:
This paper examines the effect of CSI300 Index additions on stock price crash risk. To alleviate endogeneity concern, we use those stocks selected as backups for the stocks newly included in CSI300 Index as the control group and conduct a difference-in-differences analysis. We find that, compared to backup stocks, stocks newly added experience a significant increase in future stock price crash risk. Further analyses suggest that analyst optimistic forecast bias and coverage both play a partial mediating role in the crash effect of CSI300 Index additions. This study not only provides more insights about the determinants of stock price crash risk and the consequences of stock price index additions, but also offers reference for the regulatory authorities to strengthen the analyst supervision and improve the CSI300 index adjustment system.
叶康涛, 刘芳, 李帆. 股指成份股调整与股价崩盘风险:基于一项准自然实验的证据[J]. 金融研究, 2018, 453(3): 172-189.
YE Kangtao, LIU Fang, LI Fan. CSI300 Index Additions and Stock Price Crash Risk: Evidence from a Quasi-Natural Experiment. Journal of Financial Research, 2018, 453(3): 172-189.
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