The Chinese stock market is an order-driven market and hence its characteristics are structurally different from quote-driven markets. There are no studies that consider the role of the market liquidity risk factor in determining cross-sectional stock returns in a model including financial...

Using a rich database of Chinese firms, we examine the proposition that firms with disproportionately more analysts herding, as measured by a larger herding index value, have higher future stock price crash risk. Our findings are consistent with the proposition and are robust to different...