This paper employs numerical simulations of the Park and Sabourian (2011) herd model to derive new theory-based predictions for how information risk and market stress influence aggregate herding intensity. We test these predictions empirically using a comprehensive data set of highfrequency and...

We examine the impact of institutional trading on stock resiliency during the financial crisis of 2007-2009. We show that buy-side institutions have different exposure to liquidity factors based on their trading style. Liquidity supplying institutions absorb the long-term order imbalances in the...

Despite momentum's strong historical performance, its returns have large negative skewness and occasionally experiences persistent strings of sharp negative returns, referred as "momentum crashes" in the recent literature. I argue that momentum crashes are due to crowded trades which push prices...

Momentum strategies suffer from occasional large drawdowns referred to as momentum crashes when the market rebounds. This paper documents that stocks far from peaks outperform stocks near peaks, and momentum crashes are attributable to such outperformance. Market rebounds triggers increase in...

This paper examines how the implementation of a new dark order - Midpoint Extended Life Order on NASDAQ - impacts financial markets stability in terms of occurrences of mini-flash crashes in individual securities. We use high-frequency order book data and apply panel regression analysis to...

Market reactions to the 2019 novel coronavirus disease (COVID-19) provide new insights into how real shocks and financial policies drive firm value. Initially, internationally oriented firms, especially those more exposed to trade with China, underperformed. As the virus spread to Europe and the...

We use firm-year observations of Chinese firms between 2003 and 2013 and empirically investigate the association between investor sentiment and stock crash risk with respect to short-sales constraint conditions. In addition, we also evaluate the incremental effect of financial reporting quality...

The performance of analysts’ forecasts has attracted increasing attention in recent years. However, as yet, no empirical study has investigated the nexus between the analyst forecast dispersion (AFD) and excess returns surrounding stock market crashes in any depth. This paper attempts to fill...

This paper examines the effect of trade secrets protection on stock price crash risk. Using an experimental setting with the Uniform Trade Secrets Act (UTSA), we find that firms headquartered in states with the UTSA tend to have higher stock price crash risk. The results are robust to...

This paper studies the effect of mandatory information disclosure on stock price crash risk using data on listed firms' private in-house meetings in the Chinese stock market. Utilizing the regulation implemented by the Shenzhen Stock Exchange in 2012, we use a difference-in-difference approach...