信息披露质量与股价暴跌风险

Information Disclosure and Price Crash Risk:Empirical Evidence from Dynamic Perspectives

本文考察了信息披露质量与股价暴跌风险的关系。研究结果表明随着信息披露质量的改善，股价暴跌风险也会随之降低。此外，除财务信息质量外，非财务信息质量的改善同样有助于抑制股价暴跌风险。进一步的研究还发现，在我国信息披露质量对股价暴涨风险也具有重要影响，即信息披露质量越低股价发生暴涨的概率就越高。上述研究结果不仅拓展并丰富了现有股价暴跌风险和投资者保护领域的研究成果，而且为现阶段我国市场监管者强化信息披露监管提供了经验支持和政策依据。

This paper investigates the relation between information disclosure quality and price crash risk.We find evidence that price crash risk is negatively related to disclosure quality.In addition,besides financial information quality,improvement of non-financial information quality is also beneficial to mitigate price crash risk.Furthermore,we find that disclosure quality has a great effect on price jump in China.Specifically,the probability of price jump increases as disclosure quality declines.Our findings not only expand and enrich literature on price crash risk and investor protection,but also provide empirical support and policy basis for regulators to strengthen information disclosure regulation at the present stage.