Investor Sentiment, Financial Report Quality and Stock Price Crash Risk: Role of Short-Sales Constraints
Investor Sentiment, Financial Report Quality and Stock Price Crash Risk: Role of Short-Sales Constraints
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DOI：
10.1080/1540496x.2015.1093844
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发表时间：
2016-02
影响因子：
4
通讯作者：
Yugang Yin;Rongfu Tian
中科院分区：
文献类型：
--
作者：
Yugang Yin;Rongfu Tian
摘要本文利用2003 - 2013年中国公司的年度观察数据，在卖空约束条件下实证研究了投资者情绪与股票崩盘风险之间的关系。此外，我们还评估了财务报告质量对这种关联的增量效应，以及市场条件下这种关联的存在。我们发现投资者情绪与未来股价崩盘风险正相关，较差的财务报告质量和卖空约束会强化这种关联。考虑到公司层面的股价基本信息和不同的市场状态，我们发现股价基本信息较低和牛市状态会增强投资者情绪与未来股价崩盘风险之间的正相关关系。我们的发现是稳健的几个稳健性检查。
Abstract We use firm-year observations of Chinese firms between 2003 and 2013 and empirically investigate the association between investor sentiment and stock crash risk with respect to short-sales constraint conditions. In addition, we also evaluate the incremental effect of financial reporting quality on this association and the existence of such an association under market conditions. We find that investor sentiment is positively associated with future stock price crash risk and poorer financial report quality and short-sale constraint will strengthen this association. In consideration of the firm-level fundamental information in stock prices and different market states, we find that lower fundamental information in stock price and bull market state will strengthen the positive association between investor sentiment and future stock price crash risk. Our findings are robust with several robustness checks.