Retail attention, retail trades, and stock price crash risk

Feiyang Cheng, Chunfeng Wang, Chaoshin Chiao, Shouyu Yao and Zhenming Fang

Emerging Markets Review, 2021, vol. 49, issue C

Abstract: This paper investigates the impact of retail attention on stock price crash risk in the Chinese stock market. Developing a composite measure of retail attention emphasizing its dynamic changes, we find that retail attention exacerbates future crash risk, which is robust to numerous checks that accommodate possibly omitted variables, apply the fixed effects model and instrumental variable approach, and adopt a legal interpretation as an exogenous policy shock. Extended analyses show that the impact of retail attention is more pronounced for firms with high information uncertainty under optimistic aggregate states. Moreover, using a sample of attention-grabbing stocks, we find that retail trades offer a crucial linkage from retail attention to crash risk. Overall, our findings are helpful to understand the nature of retail attention and its consequences on trading behavior as well as stock returns.

Keywords: Retail attention; Stock price crash risk; Retail trades; The Chinese stock market (search for similar items in EconPapers)
JEL-codes: G10 G14 G18 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (23)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:49:y:2021:i:c:s1566014121000297

DOI: 10.1016/j.ememar.2021.100821

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