Do Firm‐Specific Stock Price Crashes Lead to a Stimulation or Distortion of Market Information Efficiency?
研究了公司特定股价崩盘对市场信息效率的影响，发现崩盘通过吸引投资者关注（如更多分析师覆盖和在线财报访问）刺激了信息效率，表现为盈余反应系数上升和公告后漂移下降。
ABSTRACT Unlike prior research that focuses on determinants of firm‐specific stock price crashes (SPCs), we study the consequences of SPCs on market information efficiency. The tension underlying our research question stems from two competing explanations. As an unanticipated shock, an SPC could stimulate (distort) information efficiency by triggering investor rational attention (opinion divergence). Our identification strategy involves a difference‐in‐differences analysis in which SPC firms in the treatment sample are propensity score matched with non‐SPC firms in the industry‐peer control sample, as well as placebo tests for falsification. Consistent with the stimulation effect, we find an increase of the earnings response coefficient and a decrease in post‐earnings announcement drift, from the pre‐ to post‐SPC period, for SPC firms, but not for non‐SPC firms. Further analyses reveal that SPC firms attract increased investor attention, as reflected in greater analyst coverage and more investor access to firms' online financial filings following such an event. Using mutual fund flow redemption pressure based on hypothetical sales as an exogenous shock to SPCs, we provide evidence corroborating our causal interpretation of the main findings. Collectively, the evidence suggests that SPCs can attract increased investor attention, bringing about positive externalities by stimulating market information efficiency.