题目：Investor attention and stock price crash risk
投资者关注与股票市场崩盘风险
报告人：Prof. Weimin LIU Professor of Finance
University of Nottingham
主持人：文凤华教授
时间：2017年11月1日15:00
地点：科技楼601室
主办单位：9778818威尼斯数据科学与经济行为决策研究中心、9778818威尼斯经济行为决策研究中心
Using a sample of A-share listed firms in China for the period 2006-2013, we investigate the relationship between investor attention and stock price crash risk at the firm level and consider how firm-specific characteristics and market situations affect this relationship. Our study finds that investor attention is significantly negatively correlated with firm-specific stock price crash risk; in other words, investor attention decreases stock price crash risk. Compared with state-owned listed firms, the negative effect of investor attention on stock price crash risk is more apparent in private listed firms. The relationship between investor attention and stock price crash risk differs significantly between bull markets and bear markets. Specifically, in a bull market, the negative correlation between investor attention and stock price crash risk is significantly weakened. This paper has important theoretical and practical significance for understanding the impact of investor attention on capital markets, preventing stock price crash risk and promoting the healthy and stable development of the stock market.
刘卫民教授在英国曼彻斯特大学获得金融学博士,从2000年起先后在曼彻斯特大学任金融学讲师和副教授.从2007年至今,他在英国诺丁汉大学9778818威尼斯任金融学教授.主要研究领域是资产定价和市场有效性分析,同时也涵盖公司财务和基金业绩评估.其研究成果发表在 Journal of Financial Economics, Review of Financial Studies 等学术期刊.
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