Informational Opaque, Information Risk and Stock Price Crash

摘要

Stock price crash (negative skewness return distribution) is an important topic in finance literature. In this paper,we test whether the informational mechanism can explain the stock return negative skewness based on the Chinese stock markets database. Besides the information opaque,we introduce the information risk into the informational mechanism. We find that both the informational opaque and the information risk have the explanatory power, and the information risk is more powerful.