Positive information shocks, investor behavior and stock price crash risk

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buir.contributor.authorSensoy, Ahmet
buir.contributor.orcidSensoy, Ahmet|0000-0001-7967-5171
dc.citation.epage518en_US
dc.citation.spage493en_US
dc.citation.volumeNumber197en_US
dc.contributor.authorCui, X.
dc.contributor.authorŞensoy, Ahmet
dc.contributor.authorNguyen, D. K.
dc.contributor.authorYao, S.
dc.contributor.authorWu, Y.
dc.date.accessioned2023-02-14T06:53:58Z
dc.date.available2023-02-14T06:53:58Z
dc.date.issued2022-03-31
dc.departmentDepartment of Managementen_US
dc.description.abstractThis 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.en_US
dc.description.provenanceSubmitted by Ezgi Uğurlu (ezgi.ugurlu@bilkent.edu.tr) on 2023-02-14T06:53:58Z No. of bitstreams: 1 Positive_information_shocks,_investor_behavior_and_stock_price_crash_risk.pdf: 1423991 bytes, checksum: 0a812b17ddc703f657b370cf0f77df97 (MD5)en
dc.description.provenanceMade available in DSpace on 2023-02-14T06:53:58Z (GMT). No. of bitstreams: 1 Positive_information_shocks,_investor_behavior_and_stock_price_crash_risk.pdf: 1423991 bytes, checksum: 0a812b17ddc703f657b370cf0f77df97 (MD5) Previous issue date: 2022-03-31en
dc.embargo.release2025-03-31
dc.identifier.doi10.1016/j.jebo.2022.03.016en_US
dc.identifier.issn0167-2681
dc.identifier.urihttp://hdl.handle.net/11693/111228
dc.language.isoEnglishen_US
dc.publisherElsevier BVen_US
dc.relation.isversionofhttps://doi.org/10.1016/j.jebo.2022.03.016en_US
dc.source.titleJournal of Economic Behavior & Organizationen_US
dc.subjectPositive information shocken_US
dc.subjectCrash risken_US
dc.subjectRetail investorsen_US
dc.titlePositive information shocks, investor behavior and stock price crash risken_US
dc.typeArticleen_US

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