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Analyst Herding and Stock Price Crash Risk: Evidence from China

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 measures of stock price crash risk, stock price crash risk windows, herding measures, and subsamples. In addition, we document that the positive relation between analyst herding behavior and future stock price crash risk is more pronounced when firms have higher information asymmetry. Furthermore, we find no correlation between analyst herding and positive stock price jumps and firms with disproportionately more analysts herding have greater stock price synchronicity.