Abstract:
As a common phenomenon in the capital market, stock price crash will have an enormous shock to investors’ wealth and companies’ reputation in extreme cases, so it has been paid great attention by academia, industry fields and regulators.This paper takes the stocks of A-share listed companies in China from 2007 to 2016 as samples and studies the impact of different information on the risk of stock price crash.On this basis, we examine two different types of investor behavior, namely, whether overconfidence and loss aversion affect the relationship between information and the risk of stock price crash.The results show that: (1) Tangible information significantly reduces the risk of stock price crash, while intangible information has no significant impact on the risk of stock price crash; (2) The higher the degree of investors’ overconfidence, the weaker the negative relationship between the tangible information and the risk of stock price crash; (3) The higher the degree of investors’ loss aversion, the stronger the negative relationship between tangible information and the risk of stock price crash.This research not only provides a good idea of risk management for investors’ investment decision, but also provides a relevant theoretical basis for regulators’ policy making.
史永东, 杨瑞杰. 是谁影响了股价下行风险:有形信息VS无形信息[J]. 金融研究, 2018, 460(10): 189-206.
SHI Yongdong, YANG Ruijie. What has Influenced the Risk of Stock Price Crashes: Tangible Information vs Intangible Information. Journal of Financial Research, 2018, 460(10): 189-206.
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