德勤－复旦会计论坛系列讲座之一百十二

　　时间：2016年12月27日（周二）下午13：30

　　地点：史带楼502室

　　主持人: 徐浩萍 副教授

　　演讲嘉宾：Edward Lee (The University of Manchester)

　　Title：Does firm-specific stock price crash risk lead to a stimulation or distortion of market information efficiency?

　　Abstract：Existing literature on the firm-specific stock price crash focuses extensively on identifying its determinants rather than its consequences. Unlike previous studies, we examine the aftermath of exposure to higher crash risk, and assess whether it stimulates or distorts market information efficiency. We show an increase in the future earnings response coefficient, consistent with an improved ability of investors to anticipate future earnings. We also reveal a reduction of post-earnings announcement drift, consistent with less mispricing of earnings. Together, these empirical findings imply that stock prices become more informative about future performance after firms have been exposed to higher crash risk. Our evidence reveals that, despite the increased likelihood of diminishing shareholder wealth, high price crash risk can also induce positive externalities for the information efficiency of the capital market.

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