Analyst Herding and Stock Price Crash Risk:Evidence from China
Analyst Herding and Stock Price Crash Risk:Evidence from China
复制标题
分析师羊群效应与股价崩盘风险：来自中国的证据
DOI：
10.1111/jifm.12062
复制
发表时间：
2017
影响因子：
5.1
通讯作者：
Shinong Wu
中科院分区：
文献类型：
--
作者：
Nianhang Xu;Xuanyu Jiang;Kam C. Chan;Shinong Wu
我们研究的命题，即公司与不成比例地更多的分析师羊群在他们的覆盖范围内，衡量一个更大的羊群指数值，有更高的崩溃风险。我们的研究结果与主要命题是一致的。结果表明，信息生产，而不是监控，是羊群效应和崩溃风险之间的正相关关系背后的主要机制。我们的结论是强大的不同措施的崩溃风险，崩溃风险窗口，羊群效应的措施，子样本，和工具估计。此外，使用盈利公告后漂移，我们报告说，分析师羊群效应减缓了市场上的坏消息传播。我们的研究结果扩展了文献记录，分析师羊群效应在提高崩溃风险中发挥了作用。分析师羊群效应对所涵盖的公司产生了经济后果。我们支持文献中关于分析师羊群行为和市场波动的关注。
We examine the proposition that firms with disproportionately more analysts herding in their coverage, as measured by a larger herding index value, have higher crash risk. Our findings are consistent with the main proposition. The results suggest that information production, rather than monitoring, is the primary mechanism behind the positive relation between herding and crash risk. Our conclusion is robust to different measures of crash risk, crash risk windows, herding measures, subsamples, and instrumental estimation. In addition, using post‐earnings announcement drift, we report that analyst herding slows down bad news transmission in the market. Our findings extend the literature by documenting that analyst herding plays a role in enhancing crash risk. Analyst herding has economic consequences on the covered firms. We offer support for the concern in the literature regarding analyst herding and market fluctuations.