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The effect of investor attention on stock price crash risk

Author

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  • Chen, Ting-Hsuan
  • Chen, Kai-Sheng

Abstract

This study investigations the relationship between investor attention and stock price crash risk in different markets and different levels of natural-person ownership. Google's search volume is primarily employed as a proxy for investor attention. The empirical results show that the higher investor attention, the higher future crash risk, with this effect being more pronounced among firms listed on the over-the-counter market and firms with a high level of natural-person ownership. This study fills the gap in research on the factors affecting stock price crashes from the perspective of investor behavior.

Suggested Citation

  • Chen, Ting-Hsuan & Chen, Kai-Sheng, 2024. "The effect of investor attention on stock price crash risk," Journal of Empirical Finance, Elsevier, vol. 75(C).
    • Handle: RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001238
    DOI: 10.1016/j.jempfin.2023.101456
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    References listed on IDEAS

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    Cited by:

    1. Fung, Simon Yu Kit & Jain, Ankit & Tiwari, Moumita, 2024. "Is more always better? Information acquisition and stock price crash risk," Economics Letters, Elsevier, vol. 236(C).

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    More about this item

    Keywords

    Stock price crash risk; Investor attention; Search volume index on Google Trends;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation

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