Investor Sentiment, Financial Report Quality and Stock Price Crash Risk: Role of Short-Sales Constraints

Yin, Yugang; Tian, Rongfu

doi:10.1080/1540496x.2015.1093844

Cited by 55 publications

(23 citation statements)

References 23 publications

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“…Mkt (market-wide sentiment) is included to control the impact of the common sentiment that is pervasive but not observable in the stock market (Yin & Tian, 2017). It is measured as the yearly average of all firm-specific investor sentiments according to Guo et mation is not transferred efficiently, stock crashes may rely on firm size (SIZE) in which the information transmission speed or market's reaction depending on the information transparency may be different (Hutton et al, 2009).…”

Section: Sent T-1mentioning

confidence: 99%

“…However, given that the crashes that eventually occur in the process of asset pricing, not only internal firm characteristics (i.e., corporate governance) but also external investors' behaviors, have an impact on the crash risk. The point is that the incongruent opinions among investors (Chen et al, 2001), high investor sentiment (Yin & Tian, 2017;Fu et al, 2021), or the lower retail investor attention (Wen et al, 2019) are also associated with future stock crashes, independent of internal firm characteristics. According to these studies, the trader types, including unsophisticated noise traders or rational arbitrageurs, play a crucial role as the external investors.…”

Section: Introductionmentioning

confidence: 99%

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Firm-specific investor sentiment and stock price crash risk: The role of foreign investors in Korea’s stock market

신

최

2022

Investment Management and Financial Innovations

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Building on a prior study that documents that stock price crashes are positively associated with firm-specific investor sentiment (hereafter, the sentiment), this study further investigates the moderating effect of foreign investors on Korea’s stock market. This study hypothesizes that foreign investors as sophisticated participants are indifferent of the significant relationship between the sentiment and the stock price crashes. For firms listed on the KSE over the period of 2011–2019, the analysis findings show that the high stock crash risk attributable to the high sentiment is attenuated for firms with high foreign ownership. However, such moderating effect of foreign ownership disappears when taking foreign investment horizon into consideration. This implies that future stock crash risk reduction under the high sentiment is due to the corporate monitoring role of foreign investors, who are targeting a long-term investment horizon. This study adds to the literature on the role of foreign investors by suggesting that foreign investors act as a rigorous monitor helpful for managing stock price, rather than a price maker who is rational under the high sentiment.

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Section: Sent T-1mentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Firm-specific investor sentiment and stock price crash risk: The role of foreign investors in Korea’s stock market

신

최

2022

Investment Management and Financial Innovations

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“…‫الوكالة،‬ ‫بمشكلة‬ ‫المخاطر‬ ‫تلك‬ ‫وترتبط‬ ‫الشركات،‬ ‫ألسهم‬ ‫السوقية‬ ‫القيمة‬ ‫انهيار‬ ‫إمكانية‬ ‫مدى‬ ‫إلى‬ ‫األسهم‬ ‫أسعار‬ ‫انهيار‬ ‫مخاطر‬ ‫ُشير‬ ‫ت‬ ‫الطرف‬ ‫مصلحة‬ ‫حساب‬ ‫على‬ ‫الخاصة،‬ ‫مصالحه‬ ‫تخدم‬ ‫انتهازية‬ ‫بتصرفات‬ ‫(اإلدارة)،‬ ‫الوكيل‬ ‫الطرف‬ ‫لقيام‬ ‫نتيجة‬ ‫الوكالة‬ ‫مشاكل‬ ‫وتنشأ‬ ‫(المساهمين)‬ ‫األصيل‬ Hutton et al, 2009;Kothari et al, 2009 Chen et al, 2001;Jin &Myers, 2006;Hutton et al, 2009;Habib et al, Fan et al, 2021;Fu, et al, 2021;Cui & Zhang, 2020;Yin & Tian, 2017 . ) Fan et al, 2021: Fu, et al, 2021Cui & Zhang, 2020 Chen, 2020;Dumitrescu & Zakariya, 2021;Hao et al, 2018;Hunjra et al, 2020;lee, 2016;Kim et al, 2014a;Wu and Hu, 2019;Zhang et al Callen & Fang, 2015;Defond et al, 2015;Lim et al, 2016;Kim & Zhang, 2014;Kim et al, 2014a;Habib et al, 2018; Callen & Fang, 2015 ;Chen et al, 2001;Hutton et al, 2009;Kim et al, 2016a;Fu et al, 2021;Cui & Zhang, 2020;Yin & Tian, 2017;Habib et Dai et al, 2019;Dang et al, 2018;Fu et al, 2021;Fan et al, 2021;Habib et al, 2018;…”

Section: -‫البحث‬ ‫مشكلة‬ ‫طبيعة‬unclassified

أثر الإفصاح الاختياري عن البعد الاجتماعي للتنمية المستدامة على العلاقة بين ميول المستثمرين ومخاطر انهيار أسعار الأسهم

الشاهد¹,

سالم²,

عمارة³

2022

المجلة الأکاديمية للبحوث التجارية المعاصرة

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This study aims to examine the effect of investors sentiment on stock price crash risk and developing a purposed model to examine the effect of social dimension of Sustainable Development on the potential relationship between investors sentiment and stock price crash risk. an empirical study was conducted on a sample of (603) observation that co vers (80) companies Listed in the EGX-100 index, during the period (2011-2020). To analyse the data, the researcher used many statistical methods, especially the multiple regression analysis. The results of statistical analysis indicated the following: (1) a positive significant relationship between investors sentiment and stock price crash risk, (2) There is no effect of social dimension of Sustainable Development on stock price crash risk, and finally, (3) there is no effect of the social dimension of Sustainable Development on the relationship between investors sentiment and stock price crash risk.

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“…The literature on stock price crash risk has been growing since Chen, Hong, and Stein (2001). Kim, Li, & Li, 2014), institutional investors , short interest (Callen & Fang, 2015), investor sentiment (Yin & Tian, 2017), and employee welfare (Ben-Nasr & Ghouma, 2018). B.…”

Section: Introductionmentioning

confidence: 99%

“…Kim, Li, & Zhang, 2011), corporate social responsibility (Y. Kim, Li, & Li, 2014), institutional investors , short interest (Callen & Fang, 2015), investor sentiment (Yin & Tian, 2017), and employee welfare (Ben-Nasr & Ghouma, 2018). Overall, ample empirical evidence demonstrates the existence and importance of stock price crash risk.…”

Section: Introductionmentioning

confidence: 99%

Investor trading behaviour and stock price crash risk

Zhou

Huang

2018

Int. J Fin Econ

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This paper sheds new light on the relation between investor trading behaviour and crash risk to examine how investors react to stocks with lottery features in Chinese Stock Market. We find that investor trading behaviour has a greater impact on stocks with higher crash risk, which implies that investors overreact to stocks with higher stock price crash risk. Furthermore, investor trading behaviour has strongest effects on stocks with highest crash risk and highest idiosyncratic risk and has weakest effects on stocks with lowest crash risk and lowest idiosyncratic risk, which indicates that investors gamble lottery‐like stocks with high crash risk and high idiosyncratic risk. Collectively, these results support a role for investor trading behaviour in the formation of stock returns.

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Investor Sentiment, Financial Report Quality and Stock Price Crash Risk: Role of Short-Sales Constraints

Cited by 55 publications

References 23 publications

Firm-specific investor sentiment and stock price crash risk: The role of foreign investors in Korea’s stock market

Firm-specific investor sentiment and stock price crash risk: The role of foreign investors in Korea’s stock market

أثر الإفصاح الاختياري عن البعد الاجتماعي للتنمية المستدامة على العلاقة بين ميول المستثمرين ومخاطر انهيار أسعار الأسهم

Investor trading behaviour and stock price crash risk

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