|Reference: ||Aman, H., 2013, An analysis of the impact of media coverage on stock price crashes and jumps: evidence from Japan, Pacific‐Basin Finance Journal 24, 22– 38.|
Andersen, 1997, Intraday periodicity and volatility persistence in financial markets, Journal of Empirical Finance 4, 115-158.
Andreou, P. C., Louca, C., and Petrou, A. P., 2017, CEO age and stock price crash risk, Review of Finance 21, 1287– 1325.
Hutton, A.P., Marcus, A.J., and Tehranian, H., 2009, Opaque financial reports, R2, and crash risk, Journal of Financial Economics 94, 67–86.
Bagnoli, M., and Watts, S. G., 2010, Oligopoly, disclosure, and earnings management, The Accounting Review 85, 1191– 1214.
Banz, R. W., 1981, The relationship between return and market value of common stocks, Journal of Financial Economics 9, 3-18.
Barron, O. E., Kim, O., Lim, S. C., and Stevens, D. E., 1998, Using analysts’ forecasts to measure properties of analysts’ information environment, The Accounting Review 73, 421– 433.
Basu, S., 1977, Investment Performance of Common Stocks in Relation to Their Price-Earnings Ratios: A Test of the Efficient Market Hypothesis, Journal of Finance 32, 663-682.
Beatty, A., Liao, S., and Yu, J. J., 2013, The spillover effect of fraudulent financial reporting on peer firms’ investments, Journal of Accounting & Economics 55, 183– 205.
Bekaert, G., Wu, G., 2000. Asymmetric volatility and risk in equity markets. Review of Financial Studies 13, 1–42.
Bhargava, R., Faircloth, S., and Zeng, H., 2017, Takeover protection and stock price crash risk: evidence from state antitakeover laws, Journal of Business Research 70, 177– 184.
Black, F., 1976. Studies of stock price volatility changes. Proceedings of the 1976 Meetings of the American Statistical Association, Business and Economical Statistics Section, 177–181.
Blanchard, O. J., Watson, M.W., 1982, Bubbles, Rational Expectations and Financial Markets, Working Paper No. 945 (National Bureau Of Economic Research).
Boubaker, S., Mansali, H., and Rjiba, H., 2014, Large controlling shareholders and stock price synchronicity, Journal of Banking & Finance 40, 80– 96.
Brennan, M.J. and Chordia, T., 1993, Brokerage Commission Schedules, Journal of Finance 48, 1379–1402.
Callen, J. L., and Fang, X., 2013, Institutional investor stability and crash risk: monitoring versus short‐termism?, Journal of Banking & Finance 37, 3047– 3063.
Callen, J. L., and Fang, X., 2015a, Short interest and stock price crash risk, Journal of Banking & Finance 60, 181– 194.
Callen, J. L., and Fang, X., 2015b, Religion and stock price crash risk, Journal of Financial and Quantitative Analysis 50, 169– 195.
Callen, J. L., and Fang, X., 2016, Crash risk and the auditor‐client relationship, Contemporary Accounting Research. Forthcoming
Campbell, J.Y., and Hentschel, L., 1992, No news is good news: An asymmetric model of changing volatility in stock returns, Journal of Financial Economics 31, 281-318.
Cerniglia, J., and Fabozzi, F.J., 2018, Academic, Practitioner, and Investor Perspectives on Factor Investing, The Journal of Portfolio Management Quantitative 44, 10-16.
Chang, X., Chen, Y., and Zolotoy, L., 2016, Stock liquidity and stock price crash risk, Journal of Financial and Quantitative Analysis 52, 1605-1637.
Chen, J., Hong, H., and Stein, J.C., 2000, Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices, NBER Working Paper No. 7687.
Christie, A.A., 1982, The stochastic behavior of common stock variances – value, leverage and interest rate effects, Journal of Financial Economics 10, 407–432.
Cohen, L. J., Cornett, M. M., Marcus, A. J., and Tehranian, H., 2014, Bank earnings management and tail risk during the financial crisis, Journal of Money, Credit and Banking 46, 171– 197.
Crawford, S. S., Roulstone, D. T., and So, E. C., 2012, Analyst initiations of coverage and stock return synchronicity, The Accounting Review 87, 1527– 1553.
Daniel, K., and Moskowitz, T. J., 2016, Momentum crashes, Journal of Financial Economics 122, 221– 247.
DeFond, M. L., Hung, M., and Li, S., 2015, Does mandatory IFRS adoption affect crash risk?, The Accounting Review 90, 265– 299.
Demerjian, P.R., Lev, B., Lewis, M.F., and McVay, 2013, Managerial ability and earnings quality, The Accounting Review 88, 463– 498.
Dimson, E., 1979, Risk measurement when shares are subject to infrequent trading, Journal of Financial Economics 7, 197-226.
Fama, E. F., French, K.R., Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3-56.
Francis, B., Hasan, I., and Li, L., 2016, Abnormal real operations, real earnings management, and subsequent crashes in stock prices, Review of Quantitative Finance & Accounting 46, 217– 260.
Habib, A., and Hasan, M. M., 2016, Auditor‐provided tax services and stock price crash risk, Accounting and Business Research 46, 51– 82.
Habib, A., Hasan, M. M., and Jiang, H., 2018, Stock Price Crash Risk: Review of the Empirical Literature, Journal of Accounting & Finance 58, 211-251.
Harvey, C.R., Siddique, A., 2000. Conditional skewness in asset pricing tests, Journal of Finance 55, 1263–1295.
He, J., and Tian, X., 2013, The dark side of analyst coverage: the case of innovation, Journal of Financial Economics 109, 856– 878.
Hong, H., Stein, J. C., 1999. Differences of opinion, rational arbitrage and market crashes, NBER Working paper (National Bureau of Economic Research).
Irani, R. M., and Oesch, D., 2016, Analyst coverage and real earnings management: quasi‐experimental evidence, Journal of Financial and Quantitative Analysis 51, 589– 627.
Lee, C., and Swaminathan, B., 2000, Price Momentum and Trading Volume, Journal of Finance 55, 2017-2069.
Kim, J. B., and Zhang, L., 2014, Financial reporting opacity and expected crash risk: evidence from implied volatility smirks, Contemporary Accounting Research 31, 851– 875.
Kim, J. B., and Zhang, L., 2015, Accounting conservatism and stock price crash risk: firm‐level evidence, Contemporary Accounting Research 33, 412– 441.
Kim, J. B., Li, Y., and Zhang, L., 2011a, CFOs versus CEOs: equity incentives and crashes, Journal of Financial Economics 101, 713– 730.
Kim, J. B., Li, Y., and Zhang, L., 2011b, Corporate tax avoidance and stock price crash risk: firm‐level analysis, Journal of Financial Economics 100, 639– 662.
Kim, J. B., Wang, Z., and Zhang, L., 2016a, CEO overconfidence and stock price crash risk, Contemporary Accounting Research 33, 1720– 1749.
Li, X., and Chan, K. C., 2016, Communist party control and stock price crash risk: evidence from China, Economics Letters 141, 5– 7.
Li, X., Wang, S. S., and Wang, X., 2017, Trust and stock price crash risk: evidence from China, Journal of Banking and Finance 76, 74– 91.
Luo, J. H., Gong, M., Lin, Y., and Fang, Q., 2016, Political connections and stock price crash risk: evidence from China, Economics Letters 147, 90– 92.
Nelson, D.B., 1991. Conditional heteroskedasticity in asset returns: a new approach. Econometrica 59, 347–370.
Park, K., 2017, Pay disparities within top management teams and earning management, Journal of Accounting and Public Policy 36, 59– 81.
Robin, A.J., and Zhang, H., 2015, Do industry‐specialist auditors influence stock price crash risk? , Auditing: A Journal of Practice and Theory 34, 47– 79.
Ross, A. S., 1976, The arbitrage theory of capital asset pricing, Journal of Economic Theory 13, 341-360.
Song, L., Du, C., and Wu, J., 2016, Bank accounting disclosure, information content in stock prices and stock crash risk: global evidence, Pacific Accounting Review 28, 260– 278.