This paper used the A-shares listed companies in China as samples,constructed a comprehensive indicator of investor attention,and conducted an empirical analysis on the correlations among investor attention,analyst op...This paper used the A-shares listed companies in China as samples,constructed a comprehensive indicator of investor attention,and conducted an empirical analysis on the correlations among investor attention,analyst optimism,and stock price crash risk.The results indicated that investor attention aggravates the stock price crash risk and has a positive effect on analyst optimism.Meanwhile,the analyst optimism plays a mediating role in the positive correlation between investor attention and stock price crash risk.In addition to that,institutional investor attention also has direct and indirect effects on the crash risk.展开更多
We analyze whether product market advertising has a spillover effect on stock price synchronicity by transmitting firm-specific information to the capital market and attracting more investor attention.Using a sample o...We analyze whether product market advertising has a spillover effect on stock price synchronicity by transmitting firm-specific information to the capital market and attracting more investor attention.Using a sample of Chinese listed firms from 2009 to 2017,we find that firms with greater advertising expenditures have lower stock price synchronicity.The results are robust after we address endogeneity concerns.In accord with our hypothesis that product market advertising increases the amount of firm-level information capitalized into stock prices through the information channel,we find that the impact of advertising on synchronicity is more pronounced for firms with a higher degree of information asymmetry and firms in the consumer-product industry.Further tests show that product market advertising enhances the ability of current period returns to reflect future earnings,and thus rules out that the negative relationship between advertising and synchronicity is driven by noise trading.Our results imply that product market advertising plays an informative role and improves information efficiency in a capital market.展开更多
文摘This paper used the A-shares listed companies in China as samples,constructed a comprehensive indicator of investor attention,and conducted an empirical analysis on the correlations among investor attention,analyst optimism,and stock price crash risk.The results indicated that investor attention aggravates the stock price crash risk and has a positive effect on analyst optimism.Meanwhile,the analyst optimism plays a mediating role in the positive correlation between investor attention and stock price crash risk.In addition to that,institutional investor attention also has direct and indirect effects on the crash risk.
基金Supported by National Natural Science Foundation of China(No.71902183).
文摘We analyze whether product market advertising has a spillover effect on stock price synchronicity by transmitting firm-specific information to the capital market and attracting more investor attention.Using a sample of Chinese listed firms from 2009 to 2017,we find that firms with greater advertising expenditures have lower stock price synchronicity.The results are robust after we address endogeneity concerns.In accord with our hypothesis that product market advertising increases the amount of firm-level information capitalized into stock prices through the information channel,we find that the impact of advertising on synchronicity is more pronounced for firms with a higher degree of information asymmetry and firms in the consumer-product industry.Further tests show that product market advertising enhances the ability of current period returns to reflect future earnings,and thus rules out that the negative relationship between advertising and synchronicity is driven by noise trading.Our results imply that product market advertising plays an informative role and improves information efficiency in a capital market.
