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Probability of price crashes, rational speculative bubbles, and the cross-section of stock returns

Citations

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Cited by:

  1. Fang, Yan & Yuan, Jie & Yang, J. Jimmy & Ying, Shangjun, 2022. "Crash-based quantitative trading strategies: Perspective of behavioral finance," Finance Research Letters, Elsevier, vol. 45(C).
  2. Tingqiu Cao & Xianhang Qian & Le Zhang, 2024. "The price of the slow lane: Traffic congestion and stock block trading premium," International Review of Finance, International Review of Finance Ltd., vol. 24(1), pages 30-52, March.
  3. Yang, Zhonghai & Song, Pingting & Xu, Meng & Li, Yingmei, 2024. "Environmental, social and governance performance and equity mispricing: Does embedded information mediation matter?," Finance Research Letters, Elsevier, vol. 67(PB).
  4. Ruwei Zhao & Ruixin Fan & Xiong Xiong & Jianli Wang & Jitka Hilliard, 2023. "Media Tone and Stock Price Crash Risk: Evidence from China," Mathematics, MDPI, vol. 11(17), pages 1-14, August.
  5. Qiao, Tongshuai & Zhao, Yang & Han, Liyan & Li, Donghui, 2025. "Multivariate crash risk in China," Journal of Banking & Finance, Elsevier, vol. 171(C).
  6. Qin, Meng & Mirza, Nawazish & Su, Chi-Wei & Umar, Muhammad, 2023. "Exploring Bubbles in the Digital Economy: The Case of China," Global Finance Journal, Elsevier, vol. 57(C).
  7. Zhang, Shaojun & Ping, Xuerui, 2025. "Institutional opening of capital market and stock price Bubble: Evidence from China," The North American Journal of Economics and Finance, Elsevier, vol. 80(C).
  8. Cheng, Feiyang & Wang, Chunfeng & Cui, Xin & Wu, Ji & He, Feng, 2021. "Economic policy uncertainty exposure and stock price bubbles: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 78(C).
  9. Ji Cao & Marc Oliver Rieger & Lei Zhao, 2019. "Safety First, Loss Probability, and the Cross Section of Expected Stock Returns," Working Paper Series 2019-02, University of Trier, Research Group Quantitative Finance and Risk Analysis.
  10. Zhu, Hongbing & Yang, Lihua & Xu, Changxin, 2023. "Tracking investor gambling intensity," International Review of Financial Analysis, Elsevier, vol. 86(C).
  11. Dettoni, Robinson & Gil-Alana, Luis A. & Bahamondes, Cliff, 2025. "Analyzing rational speculative bubbles in S&P 500 index sectors through fractional integration and generalized link-based additive survival models," Finance Research Letters, Elsevier, vol. 85(PB).
  12. Fang, Yi & Niu, Hui & Tong, Xiangda, 2022. "Crash probability anomaly in the Chinese stock market," Finance Research Letters, Elsevier, vol. 44(C).
  13. Luo, Deming & Yao, Zhongwei & Zhu, Yanjian, 2022. "Bubble-crash experience and investment styles of mutual fund managers," Journal of Corporate Finance, Elsevier, vol. 76(C).
  14. Fang, Yi & Niu, Hui & Lin, Yuen, 2023. "Ex-ante Valuation based on Prospect Theory," MPRA Paper 116386, University Library of Munich, Germany.
  15. Andreou, Christoforos K. & Andreou, Panayiotis C. & Lambertides, Neophytos, 2021. "Financial distress risk and stock price crashes," Journal of Corporate Finance, Elsevier, vol. 67(C).
  16. Fan, Ruixin & Xiong, Xiong & Gao, Ya, 2021. "Can the probability of extreme returns be the basis for profitable portfolios? Evidence from China," International Review of Financial Analysis, Elsevier, vol. 76(C).
  17. Zhang, Haonan & Zhang, Qinghua & Chen, Jian, 2025. "The impact of excessive financial investment on corporate risk," Pacific-Basin Finance Journal, Elsevier, vol. 94(C).
  18. Borochin, Paul & Rush, Stephen, 2022. "Information networks in the financial sector and systemic risk," Journal of Banking & Finance, Elsevier, vol. 134(C).
  19. Fang, Yue & Luo, Deming & Yao, Zhongwei, 2024. "Belief dispersion in the Chinese stock market and fund flows," Journal of Banking & Finance, Elsevier, vol. 166(C).
  20. Wu, Yanran & Meng, Lili, 2025. "The “Betting” behavior of mutual fund families," Finance Research Letters, Elsevier, vol. 77(C).
  21. Anwer Ahmed & Michael Neel & Irfan Safdar, 2024. "Why does operating profitability predict returns? New evidence on risk versus mispricing explanations," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 64(2), pages 1243-1276, June.
  22. Bae, Jaewan & Kang, Jangkoo, 2022. "The negative hiring rate premium on stock returns in the Korean stock market," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
  23. Irfan Safdar & Michael Neel & Babatunde Odusami, 2022. "Accounting information and left-tail risk," Review of Quantitative Finance and Accounting, Springer, vol. 58(4), pages 1709-1740, May.
  24. Hao, Jing & Sun, Ran & Gong, Xu & Zhu, Xiaoyu (Ross), 2025. "ESG and stock price crash risk revisited: Evidence from mandatory ESG disclosure policy in China," Pacific-Basin Finance Journal, Elsevier, vol. 91(C).
  25. Panayiotis C. Andreou & Chulwoo Han & Nan Li, 2025. "Predicting Stock Jumps and Crashes Using Options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(10), pages 1471-1490, October.
  26. Kim, Donghoon & Kang, Jangkoo & Roh, Soohyun, 2025. "Market participants' trading behavior toward anomalies: Evidence from the Korean market," Pacific-Basin Finance Journal, Elsevier, vol. 90(C).
  27. Sheng, Yankai & Qu, Yuanyu & Ma, Ding, 2024. "Stock price crash prediction based on multimodal data machine learning models," Finance Research Letters, Elsevier, vol. 62(PA).
  28. Gong, Xiao-Li & Liu, Jian-Min & Xiong, Xiong & Zhang, Wei, 2022. "Research on stock volatility risk and investor sentiment contagion from the perspective of multi-layer dynamic network," International Review of Financial Analysis, Elsevier, vol. 84(C).
  29. Yuxin Zhang & Rajiv Garg & Linda L. Golden & Patrick L. Brockett & Ajit Sharma, 2024. "Segmenting Bitcoin Transactions for Price Movement Prediction," JRFM, MDPI, vol. 17(3), pages 1-17, March.
  30. Choi, Young Mok & Park, Kunsu, 2022. "Zero-leverage policy and stock price crash risk: Evidence from Korea," International Review of Financial Analysis, Elsevier, vol. 81(C).
  31. Chabi-Yo, Fousseni & Huggenberger, Markus & Weigert, Florian, 2022. "Multivariate crash risk," Journal of Financial Economics, Elsevier, vol. 145(1), pages 129-153.
  32. Cui, Xin & Sensoy, Ahmet & Nguyen, Duc Khuong & Yao, Shouyu & Wu, Yiyao, 2022. "Positive information shocks, investor behavior and stock price crash risk," Journal of Economic Behavior & Organization, Elsevier, vol. 197(C), pages 493-518.
  33. Jorge M. Uribe & Natalia Restrepo & Montserrat Guillen, 2021. ""Price Bubbles in Lithium Markets around the World"," IREA Working Papers 202110, University of Barcelona, Research Institute of Applied Economics, revised Apr 2021.
  34. Moreira, Afonso M. & Martins, Luis F., 2020. "A new mechanism for anticipating price exuberance," International Review of Economics & Finance, Elsevier, vol. 65(C), pages 199-221.
  35. Cao, Ji & Rieger, Marc Oliver & Zhao, Lei, 2023. "Safety first, loss probability, and the cross section of expected stock returns," Journal of Economic Behavior & Organization, Elsevier, vol. 211(C), pages 345-369.
  36. Chang, Chiu-Lan, 2024. "Extreme events, economic uncertainty and speculation on occurrences of price bubbles in crude oil futures," Energy Economics, Elsevier, vol. 130(C).
  37. Fiorillo, Paolo & Meles, Antonio & Pellegrino, Luigi Raffaele & Verdoliva, Vincenzo, 2024. "Geopolitical risk and stock price crash risk: The mitigating role of ESG performance," International Review of Financial Analysis, Elsevier, vol. 91(C).
  38. Ao Kong & Robert Azencott & Hongliang Zhu & Xindan Li, 2024. "Pattern Recognition in Microtrading Behaviors Preceding Stock Price Jumps: A Study Based on Mutual Information for Multivariate Time Series," Computational Economics, Springer;Society for Computational Economics, vol. 63(4), pages 1401-1429, April.
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