What is stock price crash risk
Robin and Hao Zhang (2015) Do Industry-Specialist Auditors Influence Stock Price Crash Risk?. AUDITING: A Journal of Practice & Theory: August 2015, Vol. 34, Corporate tax avoidance and stock price crash risk: Firm-level analysis. Jeong Bon Kim, Yinghua Li, Liandong Zhang. Research output: Contribution to journal › This paper examines the equilibrium when negative stock market jumps (crashes ) can occur, and investors have heterogeneous attitudes towards crash risk. We find that stock liquidity increases stock price crash risk. To identify the causal effect, we use the decimalization of stock trading as an exogenous shock to We examine the changes in acquirers' stock price crash risk following mergers and acquisitions (M&As). We employ the three measures of crash risk most 29 Jan 2020 Anecdotal evidence often claims that short‐selling of stocks triggers financial crises or exacerbates marketwide stock price crash risk.
We examine the changes in acquirers' stock price crash risk following mergers and acquisitions (M&As). We employ the three measures of crash risk most
Using a large sample of U.S. firms during 1964–2007, we find that conditional conservatism is associated with a lower likelihood of a firm's future stock price crashes. This finding holds for multiple measures of conditional conservatism and crash risk and is robust to controlling for other known determinants of crash risk and firm‐fixed US stock market risk sinks to a low-risk level of 16% (last week: 18%, low risk). US tech stock risk closes lower at a low-risk reading of 15% (last week: 16%, low risk). The global stock risk rating (GSMR) decreases to a score of 18% and remains at a low-risk reading. Short interest and stock price crash risk Jeffrey L. Callena, Xiaohua Fangb,⇑ a Rotman School of Management, University of Toronto, Canada bJ. Mack Robinson College of Business, Georgia State University, United States article info Article history: Received 1 April 2014 Accepted 3 August 2015 Available online 7 August 2015 At the firm level, Hutton et al. (2009), using data from US firms, find a positive correlation between stock price crash risk and the opaqueness of financial reports. Kim et al., 2011a, Kim et al., 2011b find that stock price crash risk is positively correlated with corporate tax avoidance and the value of CFO option portfolios. How to mitigate stock price crash risk has become a focus in the theoretical and practical fields. Building on the work of Kim et al. (J Bank Finance, 43:1–13, 2014b), this paper investigates the relation between corporate philanthropy and crash risk under the unique Chinese institutional background. The results show that both state ownership and the 2005 split share reform attenuate the Abstract. We investigate the impact of short-sale and margin-purchase on stock price crash risk in the Chinese markets. China lifted bans on short-sale and margin-purchase for stocks on an expanding designated list since March 2010.
US stock market risk sinks to a low-risk level of 16% (last week: 18%, low risk). US tech stock risk closes lower at a low-risk reading of 15% (last week: 16%, low risk). The global stock risk rating (GSMR) decreases to a score of 18% and remains at a low-risk reading.
19 Sep 2016 In this study, I investigate the impact of analyst coverage changes on firms' subsequent firm-specific crash risk. Using a sample of 24,228
whether and how firm financing constraints affect future stock price crash risk. We define, per Lamont et al. (2001), financial constraints as frictions that prevent
This article investigates the relationship between investor overconfidence behavior and stock price crash risk. Overconfidence is the common cognitive bias . Robin and Hao Zhang (2015) Do Industry-Specialist Auditors Influence Stock Price Crash Risk?. AUDITING: A Journal of Practice & Theory: August 2015, Vol. 34, Corporate tax avoidance and stock price crash risk: Firm-level analysis. Jeong Bon Kim, Yinghua Li, Liandong Zhang. Research output: Contribution to journal ›
Conceptually, stock price crash risk is based on the argument that corporate managers delay the disclosure of negative news for an extended period for strategic or nonstrategic reasons. When accumulated bad news is finally released to the market, it causes a large negative drop in stock price.
A crash is both an economic phenomenon and a psychological one. Investors who see a rapid decline in the value of a particular stock may sell off other securities as well, leading to the possibility of a vicious spiral marked by negative crowd behavior. large stock price declines. We examine the relation between stock liquidity and stock price crash risk. Stock liquidity is generally defined as the ability to trade a significant quantity of a company’s stock at a low cost in a short time (Holden, Jacobsen, and Subrah-manyam (2014)). Prior research has offered differing views on the impact Stock price crash risk, a manifestation of extreme negative values in the distribution of firm-specific returns, has attracted considerable research interests. According to Jin and Myers (2006), when cash flow is lower than investors expect, managers hide the bad news in an effort to protect their jobs. Conceptually, stock price crash risk is based on the argument that corporate managers delay the disclosure of negative news for an extended period for strategic or nonstrategic reasons. When accumulated bad news is finally released to the market, it causes a large negative drop in stock price. This study investigates whether corporate social responsibility (CSR) mitigates or contributes to stock price crash risk. Crash risk, defined as the conditional skewness of return distribution, captures asymmetry in risk and is important for investment decisions and risk management. The rationale behind all these academic articles is that stock price crash risk is intimately related to the information disclosure environment of firms, more specifically, the bad news hoarding behavior of managers or controlling shareholders. How to calculate crash risk using Wed-to-Wed weekly return.
The rationale behind all these academic articles is that stock price crash risk is intimately related to the information disclosure environment of firms, more specifically, the bad news hoarding behavior of managers or controlling shareholders. How to calculate crash risk using Wed-to-Wed weekly return. We argue that short‐ sale constraints do not reduce, and in fact exacerbate, the likelihood of an abrupt, large‐ scale decline in stock prices (stock price crash risk). Using a large sample of U.S. firms during 1964–2007, we find that conditional conservatism is associated with a lower likelihood of a firm's future stock price crashes. This finding holds for multiple measures of conditional conservatism and crash risk and is robust to controlling for other known determinants of crash risk and firm‐fixed