Empirical Study On The Impact Of Firm Stock Price Crash Risk On Expected Return

With the rapid development of market economy,China's stock market is also increasingly open and perfect,but compared with foreign mature capital market,China's stock market is still characterized by weak stability and strong synchronization,and the phenomenon of stock price crash occurs.The phenomenon of stock price crash is an important phenomenon which can not be ignored in the stock market.In practice,it will have a great influence on the wealth of the economy and investors.In the academic circle,many research and discussion have been caused,but most of the current research is about the cause of the risk of the stock price crash,and there are few studies on the economic consequences of the risk of the stock price crash.In addition,the index system of the risk of the stock disintegration is relatively simple in the present study,which is the negative income skewness coefficient(NCSKEW)and the rate of income fluctuation(DUVOL).These two indexes describe the risk of disintegration from the angle of income asymmetry,and lack of index from other angles to describe characteristics of the risk of stock price crash.In the matter of the research,this paper takes the listed companies in China's A stock market as the sample,and puts the expected return into the perspective of the economic consequences of the risk of the stock price crash,and provides new empirical evidence for the relationship between the risk of the stock price crash and the expected rate of return.In addition,combining the characteristics of Chinese market,this paper further introduces the market situation and marketization process as external environment variables,and analyzes their influence on the relationship between the risk of stock price collapse and the expected rate of return.As for the study method,this paper tries to break through the limitations of the original index.While using the original index to test it,this paper also constructs a systematic risk index(Crash)to measure the risk of the stock price crash from the sensitivity point of view.This index reflects the easily contagious characteristic of the risk of the stock price crash,and enriches the index system of stock price crash risk.Through portfolio analysis and Fama-Macbeth regression analysis,we find that the risk of the stock price crash and the expected rate of return conforms to the pricing logic of "high risk and high return",showing the phenomenon of risk premium.After studying the market situation and marketization process as an external environment variable,we found that the premium effect of the risk of stock price crash in the bear market is more obvious,and the market process has strengthened the positive correlation between the risk of the stock price crash and the expected rate of return,and the deepening of the market reform is beneficial for investors who take risk of stock price crash to receive reasonable risk compensation.The results of this study also prove that the prediction ability of stock price crash risk may come from the systemic risk behind it.