Idiosyncratic volatility and stock price crash risk: Evidence from china

Cao, Jiahui; Wen, Fenghua; Zhang, Yue; Yin, Zhujia; Zhang, Yun

doi:10.1016/j.frl.2021.102095

Cited by 16 publications

(11 citation statements)

References 27 publications

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“…In December 2019, the coronavirus disease 2019 (COVID-19) pandemic swept globally and engendered severe casualties and continuous economic turbulence. During this period, the stock price crash risk and oil turmoil are critical for investors ( Cao, Wen, Zhang, et al, 2021 ; Duan, Ren, Shi, Mishra, & Yan, 2021 ; He, Zhou, Xia, et al, 2019 ; Wen, Xu, Ouyang, et al, 2019 ). Investors have sought to lower the losses during the market turmoil.…”

Section: Introductionmentioning

confidence: 99%

Gold or Bitcoin, which is the safe haven during the COVID-19 pandemic?

Wen

Ren

2022

International Review of Financial Analysis

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124

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Section: Introductionmentioning

confidence: 99%

Gold or Bitcoin, which is the safe haven during the COVID-19 pandemic?

Wen

Ren

2022

International Review of Financial Analysis

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124

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“…Energy finance is interdisciplinary, setting up a bridge on two most important industries, that is, finance and energy, in real life. In recent years, topics on asset pricing, financial risk management, investment, and so on have been widely applied in the energy industry area (Wen et al, 2021a;Wen et al, 2021b;Cao et al, 2022;Farouq et al, 2021;Liu et al, 2021;Peng et al, 2021;Tian et al, 2021;Zheng et al, 2021). In this paper, we verify the existence of firm-level "intraday return vs. overnight return" pattern and overnight-intraday effect of nine financial anomalies in the energy industry market.…”

Section: Introductionmentioning

confidence: 78%

Overnight-Intraday Mispricing of Chinese Energy Stocks: A View from Financial Anomalies

Zhou

Liu

2022

Front. Energy Res.

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We verify the existence of firm-level “intraday return vs. overnight return” pattern and overnight-intraday effect of nine financial anomalies of Chinese energy industry stocks of the Chinese stock market. Though energy finance has been an independent research area, we also take Chinese A-shares stocks as samples for empirical analysis to avoid the so-called sample selection bias. Specifically, it verifies that the overnight returns are strongly negative and intraday returns are positive for energy industry stocks, which is totally contrary to the American stock markets. In addition, alphas of the zero-cost strategies based on nine classic financial anomalies are almost earned at night for energy industry stocks. Finally, it is risk-related anomalies that occur overnight for energy industry stocks, while both four risk-related anomalies and two firm characteristics related anomalies occur at night for all A-shares stocks. Our empirical findings based on Chinese financial markets enrich the existing research on the mispricing of financial anomaly and shed a new sight on the asset pricing in energy finance.

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“…Chen et al (2021) reveal that CEOs having early life disaster experience are more willing to accept risks associated with bad news hoarding, which, in turn, leads to stock price crash risk, suggesting a positive association between CEOs with early life disaster experience and crash risk. Cao et al (2021) reveal a positive association between idiosyncratic volatility and crash risk. Cheng et al (2021) show that retail attention raises the future stock price crash risk.…”

Section: Stock Price Crash Risk Bubbles and Crashesmentioning

confidence: 87%

Price Efficiency, Bubbles, Crashes and Crash Risk: Evidence from Chinese Stock Market

Usman¹

2022

Prague Economic Papers

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When there is bad news hoarding from managers, returns of stocks are no longer efficient. We hypothesize that a proxy for efficient returns predicts stock price bubbles, crashes and crash risk. We find evidence in support of our hypotheses. Lagged price efficiency significantly predicts bubbles, crashes and crash risk in multivariate linear regressions and logit regressions, as predicted by our hypotheses. We also find that the lagged probability of bubbles is only correlated with future returns. In contrast, the lagged probability of crashes is correlated with both future returns and fundamental values of stocks. This result validates our explanation for the formation of bubbles and crashes. Finally, the out-of-sample accuracy ratio of our bubble and the crash prediction model is higher than in previous studies. Our results provide alternative explanations of the mechanics of stock price bubbles and crashes and are helpful for academicians, investors and policymakers.

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Idiosyncratic volatility and stock price crash risk: Evidence from china

Cited by 16 publications

References 27 publications

Gold or Bitcoin, which is the safe haven during the COVID-19 pandemic?

Gold or Bitcoin, which is the safe haven during the COVID-19 pandemic?

Overnight-Intraday Mispricing of Chinese Energy Stocks: A View from Financial Anomalies

Price Efficiency, Bubbles, Crashes and Crash Risk: Evidence from Chinese Stock Market

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