A cooperative paper entitled "Information salience, investor attention, and stock price crash risk", with Chen Zhenshan (first author), a doctoral student from the School of Finance, Zhongnan University of Economics and Law, was published in the Journal of Empirical Finance in February 2026, Volume 85. The journal is an A-class journal recognized by Zhongnan University of Economics and Law.

Abstract

We find that investor attention significantly increases stock price crash risk. To identify the causal effect, we employ daily repeated quasi-natural experiments where the difference of investor attention is not driven by stock fundamentals, but rather exogenous price rounding issue. This positive effect is more pronounced among firms with higher daily abnormal Baidu search index and higher abnormal small fund inflows ratio, but is mitigated for firms with more sophisticated investors, state-owned enterprise, and firms with relaxation of short-sale constraints. Additionally, we provide supporting evidence that information asymmetry triggered by noise attention serves as a channel through which investor attention amplifies stock price crash risk. Finally, we provide additional evidence illustrating the generalizability of our findings.

keywords：Information salience; Investor attention; Winner list; Stock price crash risk; Causal effect

Author Introduction

Chen Zhenshan is a doctoral student from the School of Finance, Zhongnan University of Economics and Law. Supervisor: Professor Lü Yongbin from the School of Finance, Zhongnan University of Economics and Law. His main research directions are digital finance and financial markets. His research results have been published in international journals such as the Journal of Empirical Finance, the International Review of Financial Analysis, and the Journal of Behavioral and Experimental Finance.