Download This PaperCrash Probability Anomaly in the Chinese Stock Market
15 Pages Posted: 12 Apr 2021
Date Written: March 8, 2021
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
JEL Classification: G10；G11
Suggested Citation: Suggested Citation
Fang, Yi and Niu, Hui and Tong, Xiangda, Crash Probability Anomaly in the Chinese Stock Market (March 8, 2021). Available at SSRN: https://ssrn.com/abstract=3823741 or http://dx.doi.org/10.2139/ssrn.3823741
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