Analyst Herding and Stock Price Crash Risk: Evidence from China

51 Pages Posted: 23 Jan 2015

See all articles by Nianhang Xu

Nianhang Xu

Renmin University of China - School of Business

Xuanyu Jiang

Central University of Finance and Economics (CUFE)

Kam C. Chan

Western Kentucky University - Department of Accounting and Finance

Shinong Wu

Xiamen University

Multiple version iconThere are 2 versions of this paper

Date Written: January 21, 2015

Abstract

Using a rich database of Chinese firms, we examine the proposition that firms with disproportionately more analysts herding, as measured by a larger herding index value, have higher future stock price crash risk. Our findings are consistent with the proposition and are robust to different measures of stock price crash risk, stock price crash risk windows, herding measures, and subsamples. In addition, we document that the positive relation between analyst herding behavior and future stock price crash risk is more pronounced when firms have higher information asymmetry. Furthermore, we find no correlation between analyst herding and positive stock price jumps and firms with disproportionately more analysts herding have greater stock price synchronicity.

Keywords: Analyst herding, crash risk, earnings forecast

JEL Classification: G14

Suggested Citation

Xu, Nianhang and Jiang, Xuanyu and Chan, Johnny and Wu, Shinong, Analyst Herding and Stock Price Crash Risk: Evidence from China (January 21, 2015). Available at SSRN: https://ssrn.com/abstract=2553467 or http://dx.doi.org/10.2139/ssrn.2553467

Nianhang Xu

Renmin University of China - School of Business ( email )

Beijing
China

Xuanyu Jiang

Central University of Finance and Economics (CUFE) ( email )

39 South College Road
Haidian District
Beijing, Beijing 100081
China

Johnny Chan (Contact Author)

Western Kentucky University - Department of Accounting and Finance ( email )

Bowling Green, KY 42101
United States

Shinong Wu

Xiamen University ( email )

Xiamen, Fujian 361005
China

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
237
Abstract Views
1,164
rank
136,130
PlumX Metrics