Crash risk, institutional investors and stock returns

Lanlan Rao and Liyun Zhou

The North American Journal of Economics and Finance, 2019, vol. 50, issue C

Abstract: This paper focuses on the combined effects of institutional investors and crash risk on stock returns. Specifically, the crash risk effects are stronger for stocks with higher institutional ownership, and the institutional ownership effect plays less of a role on stock returns among stocks with higher crash risk. Furthermore, this paper addresses the moderating effect of stock liquidity on the relation among institutional investors, crash risk and stock returns, and further finds that illiquidity-return relations are stronger in situations with lower crash risk. Overall, this paper does provide evidence that institutional investors and crash risk play important roles on stock prices.

Keywords: Asset pricing; Institutional investors; Crash risk; Liquidity; Stock returns (search for similar items in EconPapers)
JEL-codes: G1 G10 G12 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818304571

DOI: 10.1016/j.najef.2019.100987

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