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Information disclosure source, investors’ searching and stock price crash risk

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  • He, Feng
  • Feng, Yaqian
  • Hao, Jing

Abstract

We examine how different information disclosure sources could affect investors’ online searching on financial market information asymmetry. Using a sample of 2,715 listed firms in the Chinese stock market over the period of 2011–2019, we find that certain information disclosure sources, such as traditional media news, company announcements or social media news, could strengthen investors’ online search effect to reduce stock price crash risks. Meanwhile, analyst reports do not have such a moderating effect. These findings are robust to the use of an alternative stock price crash risk measurement. We discover the moderating effect of different information sources on information asymmetry through retail investors’ online searching.

Suggested Citation

  • He, Feng & Feng, Yaqian & Hao, Jing, 2022. "Information disclosure source, investors’ searching and stock price crash risk," Economics Letters, Elsevier, vol. 210(C).
    • Handle: RePEc:eee:ecolet:v:210:y:2022:i:c:s0165176521004523
    DOI: 10.1016/j.econlet.2021.110202
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    More about this item

    Keywords

    Information asymmetry; Crash risk; Investors’ online searching; Chinese stock market;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets

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