Investor Sentiment and Stock Price Crash Risk: Evidence from China

Yunqi Fan, Fangzhao Zhou, Yunbi An and Jun Yang

Global Economic Review, 2021, vol. 50, issue 4, 310-339

Abstract: We study the cross-sectional effects of investor sentiment on stock price crash risk from the perspective of investor behavioural biases. We develop a firm-specific investor sentiment measure, and find that stocks with stronger investor sentiment are more prone to a future price crash. The positive relation is more pronounced for stocks eligible for margin trading, as higher investor sentiment induces greater margin buy/cover by optimistic investors. Short interest moderates the impact of optimistic sentiment on crash risk. The positive relation is also particularly prominent for stocks with a more speculative appeal, especially for those with lower institutional ownership.

Date: 2021
References: Add references at CitEc
Citations: View citations in EconPapers (28)

Downloads: (external link)
http://hdl.handle.net/10.1080/1226508X.2021.1947340 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:glecrv:v:50:y:2021:i:4:p:310-339

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RGER20

DOI: 10.1080/1226508X.2021.1947340

Access Statistics for this article

Global Economic Review is currently edited by Kap-Young Jeong and Taeyoon Sung

More articles in Global Economic Review from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().