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Information disclosure ratings and stock price crash risk

Author

Listed:
  • Kung-Cheng Ho

    (Guangdong University of Finance & Economics
    Zhongnan University of Economics and Law)

  • Andreas karathanasopoulos

    (Dubai Business School,University of Dubai
    Nankai Univeristy)

  • Chia Chun Lo

    (Huatai Futures Co., Ltd
    Doctoral Think Tank)

  • Xixi Shen

    (Nankai Univeristy)

Abstract

This research examines the effects of information disclosure ratings (IDR) on firm-specific stock price crash risk. We present evidence that there is a statistically significant negative relationship between stock price crash risk and IDR. Specifically, effective information disclosure attracts greater investor attention and leads to more liquidity, which mitigates the stock price crash risk. Our findings remain robust after controlling for relevant variables and addressing the issue of endogeneity. This research proves that high IDR mitigates the stock price crash risk by eliciting market reaction, which not only introduces a novel perspective for investors in their analysis of corporate risks but also offers valuable directions for policy formulation to guide the market.

Suggested Citation

  • Kung-Cheng Ho & Andreas karathanasopoulos & Chia Chun Lo & Xixi Shen, 2024. "Information disclosure ratings and stock price crash risk," Review of Quantitative Finance and Accounting, Springer, vol. 63(4), pages 1323-1348, November.
    • Handle: RePEc:kap:rqfnac:v:63:y:2024:i:4:d:10.1007_s11156-024-01305-0
    DOI: 10.1007/s11156-024-01305-0
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    More about this item

    Keywords

    Information disclosure ratings; Stock price crash risk; Market reactions; Investor attention; Stock liquidity;
    All these keywords.

    JEL classification:

    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • G38 - Financial Economics - - Corporate Finance and Governance - - - Government Policy and Regulation

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