Abstract：This study investigates the cross-sectional relationship of stock price crash probability in the Chinese stock market. We find that there is a negative cross-sectional correlation between crash probability and stock return. Meanwhile, we discover that the anomaly of crash probability is affected by market-wide sentiment, which is stronger in high-priced stocks, but not related to company size. Those above findings are diametrically opposite of those of the U.S. market.

Keywords：

Price crashes; 

Overpricing; 

Anomalies; 

Investor sentiment