Information disclosure source, investors' searching and stock price crash risk

We examine how different information disclosure sources could affect investors' online searching on financial market information asymmetry. Using a sample of 2,715 listed firms in the Chinese stock market over the period of 2011-2019, we find that certain information disclosure sources, such as traditional media news, company announcements or social media news, could strengthen investors' online search effect to reduce stock price crash risks. Meanwhile, analyst reports do not have such a moderating effect. These findings are robust to the use of an alternative stock price crash risk measurement. We discover the moderating effect of different information sources on information asymmetry through retail investors' online searching. (C) 2021 Elsevier B.V. All rights reserved.

Automated summary

We investigate how various sources of information disclosure impact investors' online searching behavior in the presence of financial market information asymmetry. Analyzing a sample of 2,715 listed firms in the Chinese stock market from 2011 to 2019, we observe that certain information disclosure sources, such as traditional media news, company announcements, and social media news, enhance investors' online search effectiveness, leading to a reduction in stock price crash risks. However, analyst reports do not exhibit a similar moderating effect. These findings hold true even when an alternative measure of stock price crash risk is employed. Our study reveals the moderating effect of different information sources on information asymmetry through online searching behavior of retail investors.