Voluntary disclosure of pandemic exposure and stock price crash risk

Justin Jin, Yi Liu, Zehua Zhang and Ran Zhao

Finance Research Letters, 2022, vol. 47, issue PB

Abstract: We examine whether a firm's voluntary disclosure of pandemic exposure increases stock price crash risk in a turbulent stock market caused by the spread of COVID-19 and other epidemic diseases. Pandemic risk is an unprecedented type of economic shock that alters the firm's stock price. Using an innovative firm-level pandemic exposure dataset based on the textual analysis of earnings conference calls, we show that there is a strong positive correlation between firm-level disclosure of pandemic exposure and one-quarter-ahead stock price crash risk.

Keywords: Voluntary disclosure; Pandemic exposure; COVID-19; Stock price crash risk (search for similar items in EconPapers)
JEL-codes: E44 G12 G14 G32 I18 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322001118

DOI: 10.1016/j.frl.2022.102799

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