Information Disclosure Quality and Stock Price Crash Risk: The Mediating Role of Analyst Forecast

Xiao Tusheng, Song Shunlin, Li Lu

Journal of Finance and Economics Vol. 43, Issue 02, pp. 109 - 120 (2017)  DOI:10.16538/j.cnkij.fe.2017.02.008

Abstract

Using the scoring data concerning information disclosure in companies listed in Shenzhen Stock Exchange, this paper examines the effect of information disclosure quality on the stock price crash risk, and the role of securities analysts as information intermediary. It arrives at the empirical results that the quality of information disclosure is negatively associated with its future stock price crash risk, and the result is driven by the increase in stock price crash risk owing to the reduction in information disclosure quality, but the role of the increase in information disclosure quality in alleviating stock price crash is not obvious. In addition, it finds that sound information disclosure quality can significantly reduce the forecast errors of analysts, and lower forecast errors can further alleviate stock price crash risk, supporting the mediating role of analyst forecast activities in the relationship between information disclosure quality and stock price crash risk. It has important theoretical and real significance to the understanding of the role in analysts in capital market and how to improve information disclosure quality, reduce stock price crash risk and advance the stable development of capital market.

Keywords

stock price crash risk; information disclosure quality; analysts' forecasts; mediating effect