Internet searching and stock price crash risk: Evidence from quasi-natural experiment

• 成果类型: Article
• 署名作者: Xu, Yongxin; Xuan, Yuhao; Zheng, Gaoping
• 署名单位: Monash University; Southwestern University of Finance & Economics - China; Royal Melbourne Institute of Technology (RMIT)
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.03.003
• 发表日期: 2021
• 页码: 255-275
• 关键词: Stock price crash risk; Internet searching; Investor behavioral bias; Information processing

摘要

In 2010, Google unexpectedly withdrew its searching business from China, reducing investors' ability to find information online. The stock price crash risk for firms searched for more via Google before its withdrawal subsequently increases by 19%, suggesting that Internet searching facilitates investors' information processing. The sensitivity of stock returns to negative Internet posts also rises by 36%. The increase in crash risk is more pronounced when firms are more likely to hide adverse information and when information intermediaries are less effective in assisting investors' information processing. In addition, liquidity (price delay) decreases (increases) after Google's withdrawal. (c) 2021 Elsevier B.V. All rights reserved.