PRODUCTIVITY UNCERTAINTY AND STOCK PRICE CRASH RISK
Abstract
This study examines the impact of productivity uncertainty on stock price crash risk. Empirical results show that higher productivity uncertainty contributes to higher stock price crash risk. This effect holds firmly after addressing potential endogeneity and the performing of robustness tests. Moreover, the positive impact of productivity uncertainty on stock price crash risk is more pronounced for firms with weak market competition and less independent boards. The findings of this study are meaningful as they offer a risk-based explanation for stock price crash risk which is based on the presumption of investors’ behaviors.
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