Stock price synchronicity, crash risk, and institutional investors

被引：424

作者：

An, Heng ^{[1
]}

Zhang, Ting ^{[2
]}

机构：

[1] Univ N Carolina, Bryan Sch Business & Econ, Greensboro, NC 27402 USA

[2] Univ Dayton, Sch Business Adm, Dayton, OH 45469 USA

来源：

JOURNAL OF CORPORATE FINANCE | 2013年 / 21卷

关键词：

Agency problem; Institutional monitoring; Crash risk; Stock price synchronicity; CORPORATE GOVERNANCE; PRIVATE INFORMATION; LARGE SHAREHOLDERS; OWNERSHIP; LIQUIDITY; EARNINGS; RETURNS; MARKET;

D O I：

10.1016/j.jcorpfin.2013.01.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Both stock price synchronicity and crash risk are negatively related to the firm's ownership by dedicated institutional investors, which have strong incentive to monitor due to their large stake holdings and long investment horizons. In contrast, the relations become positive for transient institutional investors as they tend to trade rather than monitor. These findings suggest that institutional monitoring limits managers' extraction of the firm's cash flows, which reduces the firm-specific risk absorbed by managers, thereby leading to a lower R-2. Moreover, institutional monitoring mitigates managerial bad-news hoarding, which results in a stock price crash when the accumulated bad news is finally released. (C) 2013 Elsevier B.V. All rights reserved.

引用

页码：1 / 15

页数：15

共 31 条

[1] Local institutional investors, information asymmetries, and equity returns [J].

Baik, Bok ;

Kang, Jun-Koo ;

Kim, Jin-Mo .

JOURNAL OF FINANCIAL ECONOMICS, 2010, 97 (01) :81-106

[2] The Fiduciary Principle: No Man Can Serve Two Masters [J].

Bogle, John C. .

JOURNAL OF PORTFOLIO MANAGEMENT, 2009, 36 (01) :15-25

[3]

Bushee BJ, 1998, ACCOUNT REV, V73, P305

[4] Which institutional investors trade based on private information about earnings and returns? [J].

Bushee, Brian J. ;

Goodman, Theodore H. .

JOURNAL OF ACCOUNTING RESEARCH, 2007, 45 (02) :289-321

[5] Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices [J].

Chen, J ;

Hong, H ;

Stein, JC .

JOURNAL OF FINANCIAL ECONOMICS, 2001, 61 (03) :345-381

[6] Price informativeness and investment sensitivity to stock price [J].

Chen, Qi ;

Goldstein, Itay ;

Jiang, Wei .

REVIEW OF FINANCIAL STUDIES, 2007, 20 (03) :619-650

[7] Monitoring: Which institutions matter? [J].

Chen, Xia ;

Harford, Jarrad ;

Li, Kai .

JOURNAL OF FINANCIAL ECONOMICS, 2007, 86 (02) :279-305

[8] Corporate Governance and Liquidity [J].

Chung, Kee H. ;

Elder, John ;

Kim, Jang-Chul .

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 2010, 45 (02) :265-291

[9]

DECHOW PM, 1995, ACCOUNT REV, V70, P193

[10] Corporate governance in the 2007-2008 financial crisis: Evidence from financial institutions worldwide [J].

Erkens, David H. ;

Hung, Mingyi ;

Matos, Pedro .

JOURNAL OF CORPORATE FINANCE, 2012, 18 (02) :389-411

← 1 2 3 4 →