Positive information shocks, investor behavior and stock price crash risk

Limited Access
This item is unavailable until:
2025-03-31
Date
2022-03-31
Editor(s)
Advisor
Supervisor
Co-Advisor
Co-Supervisor
Instructor
Source Title
Journal of Economic Behavior & Organization
Print ISSN
0167-2681
Electronic ISSN
Publisher
Elsevier BV
Volume
197
Issue
Pages
493 - 518
Language
English
Journal Title
Journal ISSN
Volume Title
Series
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.

Course
Other identifiers
Book Title
Citation
Published Version (Please cite this version)