Investor attention and price crash risk of real estate stocks in Vietnam: Approaching at firm level


Authors

  • Nguyen Thi Nhung VNU University of Economics and Business
  • Nguyen Huy Bach VNU University of Economics and Business
  • Nguyen Thu San VNU University of Economics and Business
  • Nguyen Tran Hoang Son VNU University of Economics and Business
  • Nguyen Khanh Chi VNU University of Economics and Business
  • Nguyen Trong Duc VNU University of Economics and Business
  • Soyong Lim Waseda University
DOI: https://doi.org/10.57110/vnu-jeb.v5i2.316

Keywords:

Investor attention, stock price crash risk, real estate stocks, real estate market

Abstract

This paper aims to investigate the impact of investor attention on stock price crash risk for 80 listed real estate stocks over the period from 2014 to 2023. Instead of focusing on investor attention for the whole real estate industry, this paper measures investor attention at firm level by using Google Search Volume Index. Moreover, the multiple multivariate regression method is used to analyze 435 observations measured from audited financial statements, daily transaction data, and macro data in the FiinPro Platform. As a result, there is no impact of investor attention on stock price crash risk among real estate stocks examined, while macroeconomic conditions such as inflation, interest rate and GDP growth rate and liquidity are the major factors that influence the price crash risk of real estate stocks in Vietnam.

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25-04-2025

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How to Cite

Nguyen Thi Nhung, Nguyen Huy Bach, Nguyen Thu San, Nguyen Tran Hoang Son, Nguyen Khanh Chi, Nguyen Trong Duc, & Soyong Lim. (2025). Investor attention and price crash risk of real estate stocks in Vietnam: Approaching at firm level. VNU University of Economics and Business, 5(2), 18. https://doi.org/10.57110/vnu-jeb.v5i2.316

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