Retail investor attention and stock price crash risk: Evidence from China

Fenghua Wen, Longhao Xu, Guangda Ouyang and Gang Kou

International Review of Financial Analysis, 2019, vol. 65, issue C

Abstract: This paper investigates the effect of retail investor attention on stock price crash risk in China. Retail investor attention is measured by the search frequency from the Baidu Index. Using a large sample of Chinese listed firms from 2007 to 2017, the evidence shows that firms with higher retail investor attention tend to have a lower future stock price crash risk. The results are robust to alternative measures of retail investor attention and crash risk. Moreover, higher quality auditing can mitigate the impact of retail investor attention on firms' future crash risk. We further find that this relationship is less prominent for state-owned enterprises. Those findings not only enrich the extant literature on the determinants of stock price crash risk and the economic consequence of the retail investor attention, but also give some suggestions for investors in the emerging market.

Keywords: Retail investor attention; Baidu index; Crash risk; External monitoring; Information asymmetry (search for similar items in EconPapers)
JEL-codes: G12 G14 G38 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (190)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1057521919301462
Full text for ScienceDirect subscribers only

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:eee:finana:v:65:y:2019:i:c:s1057521919301462

DOI: 10.1016/j.irfa.2019.101376

Access Statistics for this article

International Review of Financial Analysis is currently edited by B.M. Lucey

More articles in International Review of Financial Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().