Informational Opaque, Information Risk and Stock Price Crash

被引：0
|
作者：
Zhao Xiangqin [1 ]
Chen Guojin [1 ]
机构：
[1] Xiamen Univ, Sch Econ, Xiamen 361005, Peoples R China
来源：
PROCEEDINGS OF THE SIXTH INTERNATIONAL SYMPOSIUM ON CORPORATE GOVERNANCE | 2011年
关键词：
Information Opaque; Information risk; Stock return negative skewness; MOVEMENTS;
D O I：
暂无
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Stock price crash (negative skewness return distribution) is an important topic in finance literature. In this paper, we test whether the informational mechanism can explain the stock return negative skewness based on the Chinese stock markets database. Besides the information opaque, we introduce the information risk into the informational mechanism. We find that both the informational opaque and the information risk have the explanatory power, and the information risk is more powerful.
引用
收藏
页码：220 / 227
页数：8
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