Crash probability anomaly in the Chinese stock market

Yi Fang, Hui Niu and Xiangda Tong

Finance Research Letters, 2022, vol. 44, issue C

Abstract: This study investigates the cross-sectional relationship of stock price crash probability in the Chinese stock market. We find that there is a negative cross-sectional correlation between crash probability and stock return. Meanwhile, we discover that the anomaly of crash probability is affected by market-wide sentiment, which is stronger in high-priced stocks, but not related to company size. Those above findings are diametrically opposite of those of the U.S. market.

Keywords: Price crashes; Overpricing; Anomalies; Investor sentiment (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001434

DOI: 10.1016/j.frl.2021.102062

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