Informational Opaque, Information Risk and Stock Price Crash
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.
Information Opaque Information risk Stock return negative skewness
ZHAO Xiangqin CHEN Guojin
School of Economics, Xiamen University, P.R. China, 361005
国际会议
The Sixth International Symposium on Corporate Governance(第六届公司治理国际研讨会)
大连
英文
220-227
2011-08-20（万方平台首次上网日期，不代表论文的发表时间）