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Accounting-based downside risk and stock price crash risk: Evidence from China

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  • Huang, Wei
  • Luo, Yan
  • Zhang, Chenyang

Abstract

This paper shows that earnings downside risk as well as its component accruals downside risk can negatively predict future stock price crash risk. This negative relation is especially evident among firms with stronger corporate governance. However, operating cashflow downside risk component of earnings downside risk lacks similar predictability.

Suggested Citation

  • Huang, Wei & Luo, Yan & Zhang, Chenyang, 2022. "Accounting-based downside risk and stock price crash risk: Evidence from China," Finance Research Letters, Elsevier, vol. 45(C).
    • Handle: RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002336
    DOI: 10.1016/j.frl.2021.102152
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    References listed on IDEAS

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    Cited by:

    1. Rutkowska – Ziarko, Anna & Markowski, Lesław & Abdou, Hussein A., 2024. "Conditional CAPM relationships in standard and accounting risk approaches," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).

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    More about this item

    Keywords

    Accounting-based downside risk; Stock price crash risk; Bad-news hoarding; China;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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