This paper studies large price declines of individual stocks in 22 emerging markets. Using analyst reports as a proxy for information arrivals, we find that majority of crashes in emerging markets are not accompanied by information events, and these crashes are followed by price reversals....

Firms with similar credit ratings, especially junk-rated ones, tend to comove strongly with each other in stock returns. Following a firm’s downgrade to junk grade, it tends to comove more strongly with other junk-rated firms and less with investment-rated ones, which cannot be fully explained...