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Crash risk, institutional investors and stock returns

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  • Rao, Lanlan
  • Zhou, Liyun

Abstract

This paper focuses on the combined effects of institutional investors and crash risk on stock returns. Specifically, the crash risk effects are stronger for stocks with higher institutional ownership, and the institutional ownership effect plays less of a role on stock returns among stocks with higher crash risk. Furthermore, this paper addresses the moderating effect of stock liquidity on the relation among institutional investors, crash risk and stock returns, and further finds that illiquidity-return relations are stronger in situations with lower crash risk. Overall, this paper does provide evidence that institutional investors and crash risk play important roles on stock prices.

Suggested Citation

  • Rao, Lanlan & Zhou, Liyun, 2019. "Crash risk, institutional investors and stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    • Handle: RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818304571
    DOI: 10.1016/j.najef.2019.100987
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    References listed on IDEAS

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    2. Cao, Jiahui & Wen, Fenghua & Zhang, Yue & Yin, Zhujia & Zhang, Yun, 2022. "Idiosyncratic volatility and stock price crash risk: Evidence from china," Finance Research Letters, Elsevier, vol. 44(C).
    3. Zhang, Li & Liu, Chengyi & Zhang, Jinjin & Ke, Jinjun & Yuan, Jiayue, 2023. "Party leadership, corporate governance and stock price crash risk: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 88(C).

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    More about this item

    Keywords

    Asset pricing; Institutional investors; Crash risk; Liquidity; Stock returns;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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