Stock Price Crash Risk: Review of the Empirical Literature [PDF]
SSRN Electronic Journal, 2016 AbstractWe survey the burgeoning literature on the determinants and consequences of firm‐specific future stock price crash risk. We synthesise a vast body of literature on the determinants of crash risk, identify weaknesses, and offer future research opportunities. We categorise the determinants into: (i) financial reporting and corporate disclosures, (
Haiyan Jiang +3 more
openaire +3 more sources
Internal control and stock price crash risk: Evidence from China [PDF]
, 2017 This paper examines the role played by internal control and its five components (i.e., control environment, risk assessment, control activities, information and communication, and monitoring) in alleviating future stock price crash risk.
Chan, K.C. +3 more
core +1 more source
Stock mergers and acquirers’ subsequent stock price crash risk [PDF]
Review of Quantitative Finance and Accounting, 2019 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 commonly used in the literature: the negative conditional skewness of acquirer-specific stock returns, a down-to-up volatility measure, and the excess of extreme negative stock returns over extreme ...
Surendranath Jory +2 more
openaire +4 more sources
The 'COVID' Crash of the 2020 U.S. Stock Market [PDF]
arXiv, 2021 We employed the log-periodic power law singularity (LPPLS) methodology to systematically investigate the 2020 stock market crash in the U.S. equities sectors with different levels of total market capitalizations through four major U.S. stock market indexes, including the Wilshire 5000 Total Market index, the S&P 500 index, the S&P MidCap 400 index, and
arxiv
"Stabilizer" or "catalyst"? How green technology innovation affects the risk of stock price crashes: an analysis based on the quantity and quality of patents [PDF]
arXiv, 2021 To explore the relationship between corporate green technological innovation and the risk of stock price crashes, we first analyzed the data of listed companies in China from 2008 to 2018 and constructed indicators for the quantity and quality of corporate green technology innovation.
arxiv
Preventing crash in stock market: The role of economic policy uncertainty during COVID-19 [PDF]
Financial Innovation, 2021, 7(1): 1-15,, 2020 This paper investigates the impact of economic policy uncertainty (EPU) on the crash risk of US stock market during the COVID-19 pandemic. To this end, we use the GARCH-S (GARCH with skewness) model to estimate daily skewness as a proxy for the stock market crash risk.
arxiv +1 more source
The ESG disclosure and the stock price crash risk -evidence from China [PDF]
, 2023 Masteroppgave(MSc) in Master of Science in Finance - Handelshøyskolen BI, 2023With the continuous improvement of China’s ESG information disclosure system, the quality of ESG information disclosure will have an important impact on the stock price crash ...
Tai, Hanrui, ZHANG, HUIDI
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The impact of COVID-19 on the stock market crash risk in China [PDF]
Research in International Business and Finance, 2021, 57(4):101419, 2020 This study investigates the impact of the COVID-19 pandemic on the stock market crash risk in China. For this purpose, we first estimated the conditional skewness of the return distribution from a GARCH with skewness (GARCH-S) model as the proxy for the equity market crash risk of the Shanghai Stock Exchange.
arxiv +1 more source
Cross-correlation asymmetries and causal relationships between stock and market risk [PDF]
PLoS ONE 9(8): e105874 (2014), 2014 We study historical correlations and lead-lag relationships between individual stock risk (volatility of daily stock returns) and market risk (volatility of daily returns of a market-representative portfolio) in the US stock market. We consider the cross-correlation functions averaged over all stocks, using 71 stock prices from the Standard \& Poor's ...
arxiv +1 more source
STOCK PRICE BUBBLE, DEBT MATURITY STRUCTUR, INSTITUSIONAL OWNERSHIP DAN STOCK PRICE CRASH RISK DI PERUSAHAAN TEKNOLOGI INDONESIA [PDF]
, 2023 Penelitian ini bertujuan untuk membutikan secara impiris pengaruh dari stock price bubble, utang jangka panjang dan institusional ownership terhadap stock price crash risk diperusahaan teknologi Indonesia tahun 2019-2021.
Megawati Sukarni Putri, Mega
core