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| What has Influenced the Risk of Stock Price Crashes: Tangible Information vs Intangible Information |
| SHI Yongdong, YANG Ruijie
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| Research Centre of Applied Finance/School of Finance, Dongbei University of Finance & Economics |
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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.
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Received: 26 December 2017
Published: 16 November 2018
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