Economics Letters 210 (2022) 110202

Contents lists available at ScienceDirect

Economics Letters
journal homepage: www.elsevier.com/locate/ecolet

Information disclosure source, investors’ searching and stock price

crash risk✩
∗
Feng He a,b , Yaqian Feng a , Jing Hao a,b ,
a
School of Finance, Tianjin University of Finance and Economics, Tianjin, 300222, China
b
Loboratory for Fintech and Risk Management, Tianjin, 300222, China

article info a b s t r a c t

Article history: We examine how different information disclosure sources could affect investors’ online searching on
Received 21 October 2021 financial market information asymmetry. Using a sample of 2,715 listed firms in the Chinese stock
Received in revised form 23 November 2021 market over the period of 2011–2019, we find that certain information disclosure sources, such as
Accepted 26 November 2021
traditional media news, company announcements or social media news, could strengthen investors’
Available online 13 December 2021
online search effect to reduce stock price crash risks. Meanwhile, analyst reports do not have such
JEL classification: a moderating effect. These findings are robust to the use of an alternative stock price crash risk
G14 measurement. We discover the moderating effect of different information sources on information
G41 asymmetry through retail investors’ online searching.
Keywords:
© 2021 Elsevier B.V. All rights reserved.
Information asymmetry
Crash risk
Investors’ online searching
Chinese stock market

1. Introduction Specifically, which information sources could effectively deliver

Internet information is shown to have a significant impact on
the financial market. Compared with simple information trans-
mission, information acquisition by investors could provide direct
insight into the market effect of investors who actually receive
the information (Blankespoor et al., 2014). Many studies use
internet searching to reflect investors’ information acquisition be-
havior (Da et al., 2011; An et al., 2020; Xu et al., 2021). However,
the link between investors’ online searching and information
disclosure sources is still unclear. Investors are confronted with
various types of information online, which challenges investors’
ability to access information online (Barber and Odean, 2001).
Investors’ online searching could reduce stock price crash risk,
which reflects managers’ withholding of bad news (Wen et al.,
2019; Xu et al., 2021). Various information disclosure sources
provide content for investors’ search results on the internet. Do
massive information disclosure sources on the internet increase
investors’ search efficiency to obtain useful company news or
diversify investors’ attention to help managers hide bad news?
✩ We are grateful for comments from the editor Mariano Massimiliano
Croce and an anonymous referee. The authors acknowledge financial support
from National Natural Science Foundation of China (NSFC) project(72001156;
71701106; 71790594)
∗ Corresponding author at: School of Finance, Tianjin University of Finance
and Economics, Tianjin, 300222, China.
E-mail address: krystalh_hj@163.com (J. Hao).
useful information to investors to reduce stock price crash risk?
In this paper, we aim to answer this question by exploring the
moderating effect of different information sources on the effect of
investors’ online searching and stock price crash risk. Managers
have an incentive to hide bad news and cause a potentially biased
information environment. When a large amount of bad news
comes out together, the stock price is likely to have a steep
decline (Kim et al., 2011a; Luo et al., 2016). Investors’ searching
could mitigate biases in the information environment and reduce
stock price crash risk (Wen et al., 2019; Xu et al., 2021). Based
on the above studies, we take a further step to explore the
moderating effect of the content that investors possibly search
via the internet between investors’ online searching and stock
price crash risk, including media news, company announcements,
analyst reports and social media articles.
We contribute to the recent literature by focusing on the
information disclosure and dissemination effect on investors’ on-
line information acquisition efficiency. Previous literature shows
that company financial reports (Hutton et al., 2009), traditional
media (Bushee et al., 2010; Fang and Peress, 2009; An et al.,
2020), social media (Blankespoor et al., 2014; Isabella, 2021) and
analyst reports (Kim et al., 2019; He et al., 2019) are important
for information disclosure and dissemination in financial markets.
Internet searching is an important way for investors to obtain
information from the abovementioned information sources. We
investigate whether the number of news items or reports from

https://doi.org/10.1016/j.econlet.2021.110202
0165-1765/© 2021 Elsevier B.V. All rights reserved.
F. He, Y. Feng and J. Hao Economics Letters 210 (2022) 110202

Table 1
Descriptive statistics.
Variable N mean sd p50 min max skewness kurtosis
FNCSKEW 16 545 −0.346 0.747 −0.303 −2.838 2.267 −0.216 4.066
FDUVOL 16 545 −0.230 0.486 −0.233 −1.612 1.324 0.079 3.082
FCRASH 16 545 0.093 0.290 0.000 0.000 1.000 2.809 8.888
Attention 16 545 12.828 0.678 12.772 11.027 15.777 0.518 3.656
News 16 545 5.254 1.030 5.231 0.000 8.338 0.162 3.558
Announcement 16 545 4.280 1.320 4.605 0.000 5.775 −2.550 8.687
Analyst 16 545 2.752 1.964 3.091 0.000 6.989 −0.183 1.698
SocialMedia 16 545 2.213 2.087 1.609 0.000 7.764 0.391 1.663
NCSKEW 16 545 −0.317 0.730 −0.278 −2.922 2.269 −0.211 4.127
DUVOL 16 545 −0.211 0.481 −0.215 −1.676 1.319 0.081 3.135
Ret 16 545 0.002 0.010 0.001 −0.023 0.050 0.918 4.827
Sigma 16 545 0.062 0.026 0.056 0.020 0.195 1.549 6.120
Dturn 16 545 −0.027 0.321 −0.018 −2.446 1.336 −0.194 5.868
LNSIZE 16 545 22.432 1.279 22.271 19.563 26.395 0.580 3.285
ROA 16 545 0.028 0.072 0.030 −0.581 0.201 −3.372 25.420
LEV 16 545 0.463 0.205 0.462 0.037 0.927 0.059 2.199
MB 16 545 2.038 1.404 1.587 0.815 15.607 3.398 21.462
top1 16 545 33.979 14.937 31.650 8.260 75.780 0.540 2.670
age 16 545 19.163 5.359 19.000 4.000 64.000 0.951 6.464
OPAQUE 16 545 0.205 0.181 0.157 0.024 1.999 3.417 22.113

Table 2
Testing the moderating effect with different information sources.
Variable (1) (2) (3) (4) (5)
NCSKEW NCSKEW NCSKEW NCSKEW NCSKEW
Attention −0.0838*** −0.1112*** −0.0784*** −0.0836*** −0.0822***
(−6.78) (−8.23) (−6.29) (−6.62) (−6.21)
Attention*News −0.0154**
(−2.20)
News 0.0523***
(6.35)
Attention*Announcement −0.0197***
(−2.68)
Announcement 0.0352**
(2.28)
Attention*Analyst 0.0054
(1.22)
Analyst 0.0352***
(9.13)
Attention*SocialMedia −0.0205***
(−5.01)
SocialMedia 0.0139*
(1.69)
Control variables Yes Yes Yes Yes Yes
Industry Yes Yes Yes Yes Yes
Year Yes Yes Yes Yes Yes
Observations 16,545 16,545 16,545 16,545 16,545
R-squared 0.066 0.069 0.067 0.071 0.068

Note: This table reports the regression results of the moderating test with four types of information sources
between investors’ online searching and NCSKEW. Column (1) is the baseline regression of investors’ online search
results. Columns (2)–(5) test the moderating effects of media news, company announcements, analyst reports and
social media news, respectively. The robust standard error is applied and clustered by firm; the t-statistics are in
parentheses. *, **, and *** indicate significance at the 10%, 5%, and 1% levels, respectively. The Appendix provides
the variable definitions.

these information sources could weaken or enhance the well-
documented investors’ online search effect on stock price crash
risk. Crash risk is considered to be managers withholding bad
news, and the release of bad news at a certain time will result
in stock price fluctuations, which lead to the skewness of the
return distribution. The existing literature confirms the causal
relationship between media coverage (An et al., 2020) and in-
vestors’ searching (Xu et al., 2021) on stock price crash risk. By
interacting attention and media coverage indicators from differ-
ent information sources, we could measure the moderating effect
of media coverage. It captures the information disclosure from
which information sources could help investors search for useful
information. The crash risk indicator is in period t + 1 to avoid
reverse causality issues, and we further include firm-fixed effects
to address the possible endogeneity issues caused by omitted
variables.
2
We study the Chinese financial market, as there are relatively
larger numbers of retail investors who rely more on the internet
to search for information than institutional investors (Wen et al.,
2019; Hao and Xiong, 2021; He et al., 2021; Xu et al., 2021). We
investigate this relationship by using 2715 firms over the period
of 2011–2019, and we control for the common determinants
of stock price crash risk. We find that the number of media
news articles, company announcements and social media articles
could significantly increase investors’ online search effect in re-
ducing stock price crash risk. Among them, social media shows
the strongest moderating effect. Meanwhile, analyst reports are
shown to have a statistically insignificant weakening effect. The
results suggest that traditional media, company announcements
and social media are more important information sources than
analyst reports in reducing information asymmetry via internet
searching.
F. He, Y. Feng and J. Hao Economics Letters 210 (2022) 110202

Table 3
Robustness – DUVOL.
Variable (1) (2) (3) (4) (5)
DUVOL DUVOL DUVOL DUVOL DUVOL
Attention −0.0612*** −0.0776*** −0.0584*** −0.0615*** −0.0599***
(−7.54) (−8.77) (−7.13) (−7.46) (−6.92)
Attention*News −0.0123***
(−2.76)
News 0.0330***
(6.34)
Attention*Announcement −0.0117**
(−2.42)
Announcement 0.0140
(1.38)
Attention*Analyst 0.0041
(1.43)
Analyst 0.0195***
(7.86)
Attention*SocialMedia −0.0178***
(−6.65)
SocialMedia 0.0120**
(2.26)
Control variables Yes Yes Yes Yes Yes
Industry Yes Yes Yes Yes Yes
Year Yes Yes Yes Yes Yes
Observations 16,545 16,545 16,545 16,545 16,545
R-squared 0.070 0.072 0.070 0.073 0.072

Note: This table reports the regression results of the moderating test with four types of information sources
between investors’ online searching and DUVOL. Column (1) is the baseline regression of investors’ online search
results. Columns (2)–(5) test the moderating effects of media news, company announcements, analyst reports and
social media news, respectively. The robust standard error is applied and clustered by firm; the t-statistics are in
parentheses. *, **, and *** indicate significance at the 10%, 5%, and 1% levels, respectively. The Appendix provides
the variable definitions.

2. Data and methodology 2.2. Defining the stock price crash risk

2.1. Data According to Hutton et al. (2009) and Kim et al. (2011a,b), we
use two methods to construct variables to measure stock price
crash risk. The specific calculation methods are as follows.
Internet search data, media news and social news data are First, using the weekly return data of stock i, the market-
obtained from the Chinese Research Data Services Platform (CN- adjusted return of stock i is calculated according to Eq. (1).
RDS). Analyst reports, company announcements, firm character-
istics and stock returns are obtained from the China Stock Market ri,t = αi + β1,i rm,t −2 + β2,i rm,t −1 + β3,i rm,t
& Accounting Research Database (CSMAR). + β4,i rm,t +1 + β5,i rm,t +2 + εi,t (1)
The internet search data are obtained from CNRDS, which in-
where ri,t is the return of stock i in week t of each year, and rm,t
tegrates and aggregates various network search indices in China,
is the mean return weighted by the market value of all stocks
such as Baidu. Similar to a Google search,1 it reflects the network
in week t. In this paper, the lag and front term of market return
search volume with the keywords of the stock code, company are added to Eq. (1) to adjust the impact of asynchronous stock
abbreviation and company full name of listed companies in China, trading (Fowler and Rorke, 1983). The market-adjusted return
which could reflect investors’ attention. The daily search volume Wi,t of stock i in week t is
for listed companies is larger on average than those in Google
searches for other financial markets, as there are large amounts Wi,t = ln(1 + εi,t ) (2)
of retail investors in China who rely heavily on internet searching. where εi,t is the regression residual in Model (1).
The media news is the volume of all media articles that contain Second, two variables are constructed. The first variable is
the companies’ information in their title. Our data include more NCSKEW based on Wi,t :
than 400 media outlets, and we calculate the total number of
NCSKEWi,t = −[n(n − 1)3/2 Wi2,t )3/2 ]
∑ ∑
media news articles for each company in a year. The analyst Wi3,t ]/[(n − 1)(n − 2)(
report data include all of the analysts’ recommendations and
(3)
reports in each year. The company announcements include all
regular and temporary announcements for each firm. Our social where n is the number of trading weeks of stock i each year.
media news includes news reports in official WeChat accounts. When the value of NCSKEW is larger, the degree of the skewness
WeChat, operated by Tencent, is the largest social media platform coefficient is higher, which indicates a greater crash risk.
in China. Nonofficial media, individuals or firms can register a The alternative measurement is the down-to-up volatility
public WeChat account and publicly express their opinions. We (DUVOL), which is defined as
collect and calculate the news that covered each company in this
∑ ∑
DUVOLi,t = log{[(nu − 1) Wi2,t ]/[(nd − 1) Wi2,t ]} (4)
social media during a year.
DOWN UP

where nu (nd ) is the number of weeks in which the weekly return

1 Google quit the China market in 2010; therefore, it does not provide service Wi,t of stock i is greater than (less than) the annual average return
to residents in China for online searching. Wi . When the value of DUVOL is larger, the return distribution
3
F. He, Y. Feng and J. Hao Economics Letters 210 (2022) 110202

Table A.1
Variable definition.
Variable type Variable name Variable symbol Variable measure
NCSKEWi,t + 1 The negative coefficient of skewness in year t + 1
Dependent variable Stock price crash risk
DUVOLi,t + 1 The down-to-up volatility in year t + 1
Independent variable Internet search index Attentioni,t The natural logarithm of the internet search index of listed companies plus 1
in year t
Network financial news New si,t The natural logarithm of the number of online financial news reports that
covered listed companies plus 1 in year t
Moderating variable
Company announcement Announcementi,t The natural logarithm of the number of announcements issued by listed
companies plus 1 in year t
Analyst report Analysti,t The natural logarithm of the number of analyst reports of listed companies
plus 1 in year t
Social media SocialMediai,t The number of articles on the WeChat official account of listed companies
plus 1 in year ta
NCSKEWi,t The negative coefficient of skewness in year t
Lag term of stock price crash risk
DUVOLi,t The down-to-up volatility in year t
Market return RETi,t Average weekly special rate of return of stocks in year t
Market fluctuation SIGMAi,t Standard deviation of the weekly special return of stock in year t
Control variable Monthly average excess turnover rate DTURNi,t The monthly average excess turnover rate in year t is the difference between
the monthly average turnover rate of stock i in year t + 1 and the monthly
average turnover rate of stock i in year t
Company size LNSIZEi,t Natural logarithm of total assets at the end of year t
Return on assets ROAi,t EBIT divided by total assets at the end of the period in year t
Financial leverage LEVi,t Asset liability ratio in year t
Market book ratio MBi,t Ratio of current price per share to book value per share in year t
Largest shareholder TOP1i,t Shareholding ratio of the largest shareholder in year t
Company age AGEi,t Year of observation minus the date of incorporation
Transparency OPAQUEi,t Opacity of company information in year t
a
Our social media news includes the news reports in the WeChat official account. WeChat is the largest social media in China and is operated by Tencent in China.
Nonofficial media, individuals or firms can register a public account and publicly express their opinions. The existing research mainly uses Twitter as social media
(Blankespoor et al., 2014; Isabella, 2021) and finds that it is helpful to reduce information asymmetry. A WeChat official account is similar to that of Twitter, and it
has push notifications for followers.

is skewed more to the left, which indicates a greater crash risk. 3. Empirical results
We use NCSKEW for the primary results and DUVOL for the
robustness check. 3.1. Descriptive statistics

2.3. Sample and variables
Our main explanatory variable, Attention, is defined by the
logarithm of one plus the internet search volume. The moder-
ating variables include New, Announcement, Analyst and Social
media, which are the logarithms of one plus the total volume
of reports or news in each information source, respectively. We
control other relevant variables that have been documented to
affect stock price crash risk according to Kim et al. (2011a,b). We
exclude financial firms and special treatment firms. Our sample
covers the period from 2011 to 2019, and all the continuous
variables are winsorized at the 1% and 99% levels. Table A.1
provides the definitions of all variables.
2.4. Model
We estimate the moderating effect of the four different media
sources on investors’ online searching and stock price crash risk
by using the following model:
NCSKEW i,t +1 = α + β1 Attentioni,t + β2 Attentioni,t ∗ Moderator i,t
+ β3 ∗ Moderator i,t + γi Controlsi,t + εi,t +1
The interaction terms between the moderators and searching are
cross products of the decentralized variables. We observe the
coefficients of β1 and β2 for interpretation.
Table 1 shows the descriptive statistics of all variables in our
study.
3.2. Main result
Table 2 presents the estimation results of the moderating
effect of the four information sources. Consistent with previous
findings, investors’ online searching could significantly reduce
stock price crash risks (Wen et al., 2019; Xu et al., 2021). In
Column 2, the interaction term (−0.0154) is significantly negative
and has the same sign as the search indicator, which indicates
an enhanced effect of traditional media news. Similarly, from
Columns (3) and (5), both company announcements and social
media news show significant increasing power in investors’ on-
line searching. However, we find that analyst reports do not
play a moderating role. Therefore, a larger volume of company
announcements, social media news or media news could increase
investors’ online search efficiency to acquire information.
In the financial market, even if the company discloses all
information in a real and timely manner, investors can devote
attention to only some information due to their limited attention.
Therefore, social media news might be easiest to follow, and
(5) it could best benefit investors in searching for useful informa-
tion. Traditional media news and company announcements have
a larger number of reports among these information sources,
and they moderate the search effect on information asymmetry
less efficiently than social media news due to retail investors’
4
F. He, Y. Feng and J. Hao Economics Letters 210 (2022) 110202

Table A.2
Robustness check with firm-level characteristics — NCSKEW.
Variable (1) (2) (3) (4) (5)
FNCSKEW FNCSKEW FNCSKEW FNCSKEW FNCSKEW
Attention −0.0778*** −0.1085*** −0.0722*** −0.0814*** −0.0781***
(−5.85) (−7.51) (−5.37) (−6.10) (−5.53)
Attention*News −0.0147**
(−1.99)
News 0.0567***
(6.38)
Attention*Announcement −0.0209***
(−2.86)
Announcement 0.0423***
(2.78)
Attention*Analyst 0.0060
(1.31)
Analyst 0.0380***
(9.95)
Attention*SocialMedia −0.0213***
(−5.56)
SocialMedia 0.0177**
(2.21)
Control variables Yes Yes Yes Yes Yes
Firm Yes Yes Yes Yes Yes
Year Yes Yes Yes Yes Yes
Observations 16,545 16,545 16,545 16,545 16,545
Number of stkcd 2715 2715 2715 2715 2715

Table A.3
Robustness check with firm-level characteristics — DUVOL.
Variable (1) (2) (3) (4) (5)
FDUVOL FDUVOL FDUVOL FDUVOL FDUVOL
Attention −0.0564*** −0.0750*** −0.0534*** −0.0589*** −0.0565***
(−6.55) (−8.03) (−6.14) (−6.81) (−6.15)
Attention*News −0.0120**
(−2.57)
News 0.0361***
(6.53)
Attention*Announcement −0.0124***
(−2.58)
Announcement 0.0189*
(1.89)
Attention*Analyst 0.0045
(1.51)
Analyst 0.0216***
(8.79)
Attention*SocialMedia −0.0183***
(−7.25)
SocialMedia 0.0147***
(2.80)
Control variables Yes Yes Yes Yes Yes
Firm Yes Yes Yes Yes Yes
Year Yes Yes Yes Yes Yes
Observations 16,545 16,545 16,545 16,545 16,545
Number of stkcd 2715 2715 2715 2715 2715

information processing capability. It takes time to distinguish 4. Conclusion

useful news and managers’ manipulation information, which re-
duces the power of news to information acquisition via internet
searching.
3.3. Robustness
In Table 3, we replace the dependent variable with DUVOL
for a robustness check. The result is almost the same as that
obtained with NCSKEW. All of the results are similar to those in
Table 2. This shows that our conclusion is robust to stock price
risk measurement.
We further introduced firm-level characteristics and re-
estimated our model. The results are included in Tables A.2 and
A.3. The results are still the same as in the main regressions.
5
Our paper provides novel insights into the moderating effect
of information disclosure sources between investors’ internet
searching behavior and financial market information asymmetry.
Based on the stock price crash risk indicator, we show that
information disclosed by traditional media, company announce-
ments and social media could enhance investors’ information
acquisition efficiency and result in lower information asymmetry.
However, analyst reports may not benefit investors when they try
to acquire information via the internet.
Our paper contributes to the emerging literature on informa-
tion dissemination, information acquisition and financial market
information asymmetry in the current big data era. Our result also
is of practical importance. On the one hand, investors could focus
more on traditional media news, company announcements and
their social media news to obtain company information. On the
F. He, Y. Feng and J. Hao
other hand, social media is the most effective way for companies
to increase firm transparency.
Appendix
See Tables A.1–A.3.
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