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      Positive information shocks, investor behavior and stock price crash risk

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      Embargo Lift Date: 2025-03-31
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      Author(s)
      Cui, X.
      Şensoy, Ahmet
      Nguyen, D. K.
      Yao, S.
      Wu, Y.
      Date
      2022-03-31
      Source Title
      Journal of Economic Behavior & Organization
      Print ISSN
      0167-2681
      Publisher
      Elsevier BV
      Volume
      197
      Pages
      493 - 518
      Language
      English
      Type
      Article
      Item Usage Stats
      25
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      Abstract
      This article explores the impact of positive information shocks on investors’ trading behavior and the related stock price crash risk. We use cumulative positive jump returns to measure the positive information shocks and find that these shocks exacerbate crash risk. Moreover, retail investor attention, over-optimistic investor sentiment, and retail trades are channels for this exacerbation. We also provide evidence that the effect of the information shocks varies across firm characteristics and aggregate states. It is stronger for firms with large-cap, long listing times, and state-owned structures and during over-optimistic aggregate states. Overall, our results shed light on investor trading behavior and market risk related to unexpected information shocks, which helps detect and diagnose potential market instability.
      Keywords
      Positive information shock
      Crash risk
      Retail investors
      Permalink
      http://hdl.handle.net/11693/111228
      Published Version (Please cite this version)
      https://doi.org/10.1016/j.jebo.2022.03.016
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