科研之友
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摘要
We examine the proposition that firms with disproportionately more analysts herding in their coverage, as measured by a larger herding index value, have higher crash risk. Our findings are consistent with the main proposition. The results suggest that information production, rather than monitoring, is the primary mechanism behind the positive relation between herding and crash risk. Our conclusion is robust to different measures of crash risk, crash risk windows, herding measures, subsamples, and instrumental estimation. In addition, using post-earnings announcement drift, we report that analyst herding slows down bad news transmission in the market. Our findings extend the literature by documenting that analyst herding plays a role in enhancing crash risk. Analyst herding has economic consequences on the covered firms. We offer support for the concern in the literature regarding analyst herding and market fluctuations.
