Ambiguity and stock price crash risk: Evidence from China

被引：0

作者：

Li, Yinan ^{[1
]}

Liu, Qiang ^{[2
]}

Guo, Shuxin ^{[3
]}

机构：

[1] Southwestern Univ Finance & Econ, Sch Finance, Chengdu, Sichuan, Peoples R China

[2] Southwestern Univ Finance & Econ, Inst Chinese Financial Studies, Chengdu, Sichuan, Peoples R China

[3] Southwest Jiaotong Univ, Sch Econ & Management, 111 North Erhuan Rd,Sect 1, Chengdu 610031, Sichuan, Peoples R China

来源：

NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE | 2025年 / 79卷

基金：

中国国家自然科学基金;

关键词：

Ambiguity; Stock price crash risk; COVID-19; pandemic; Chinese stock market; Channel analysis; CROSS-SECTION; UNCERTAINTY; RETURNS; LIQUIDITY; IMPACT; TRUST; MODEL; NEWS;

D O I：

10.1016/j.najef.2025.102458

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We are the first to investigate the role of ambiguity in explaining stock price crash risk in China. By employing a newly developed measure of ambiguity, we find there is a positive relationship between ambiguity and stock price crash risk, and this result is robust to a battery of tests, even after addressing potential endogeneity issues. Furthermore, we explore the potential impact of the COVID-19 pandemic on our findings by employing a difference-in-difference approach and find an amplification effect of the predictive power of ambiguity on crash risk in the group of stocks with a higher level of ambiguity. Finally, we identify two channels through which ambiguity contributes to stock price crash risk: bad news formation induced by aggressive strategies and bad news hoarding induced by speculative accounting practices.

引用

页数：24

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