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Voluntary disclosure of pandemic exposure and stock price crash risk

Author

Listed:
  • Jin, Justin
  • Liu, Yi
  • Zhang, Zehua
  • Zhao, Ran

Abstract

We examine whether a firm's voluntary disclosure of pandemic exposure increases stock price crash risk in a turbulent stock market caused by the spread of COVID-19 and other epidemic diseases. Pandemic risk is an unprecedented type of economic shock that alters the firm's stock price. Using an innovative firm-level pandemic exposure dataset based on the textual analysis of earnings conference calls, we show that there is a strong positive correlation between firm-level disclosure of pandemic exposure and one-quarter-ahead stock price crash risk.

Suggested Citation

  • Jin, Justin & Liu, Yi & Zhang, Zehua & Zhao, Ran, 2022. "Voluntary disclosure of pandemic exposure and stock price crash risk," Finance Research Letters, Elsevier, vol. 47(PB).
    • Handle: RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322001118
    DOI: 10.1016/j.frl.2022.102799
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    References listed on IDEAS

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    More about this item

    Keywords

    Voluntary disclosure; Pandemic exposure; COVID-19; Stock price crash risk;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • I18 - Health, Education, and Welfare - - Health - - - Government Policy; Regulation; Public Health

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