Data Asset Disclosure and Stock Price Crash Risk: A Double Machine Learning Study of Chinese A Share Firms

In the digital economy, data assets have become key drivers of firm competitiveness and market stability. This study examines the association between data asset information disclosure and stock price crash risk. Using annual reports of Chinese A-share listed firms from 2010 to 2023, we construct a Data Asset Information Disclosure Index through textual analysis. A double machine learning framework is employed to flexibly control for high-dimensional confounders, and the results indicate that greater disclosure is associated with lower crash risk across multiple specifications. Generalized random forest analysis further highlights heterogeneous relationships, with disclosures on both internally used and transactional data assets showing stronger negative associations with crash risk. Mechanism evidence suggests that disclosure may facilitate information dissemination, strengthen investor confidence, and improve analyst forecast accuracy. The association is more pronounced in firms with weaker corporate governance, higher reporting transparency, more competitive industries, and in regions with less developed digital economies. An industry spillover pattern is also observed, whereby one firm’s disclosure is linked to reduced crash risk among peers. Overall, this study contributes to the literature on data asset disclosure and corporate risk management by providing empirical evidence from a major emerging market and by highlighting the potential relevance of enhanced transparency for digital governance and capital market resilience.

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Publication Details

Journal
International Journal of Financial Studies
Published
2025-12-02
DOI
https://doi.org/10.3390/ijfs13040229
Primary Topic
Auditing, Earnings Management, Governance
Type
article
Field-Weighted Citation Impact
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article

Data Asset Disclosure and Stock Price Crash Risk: A Double Machine Learning Study of Chinese A Share Firms

Frank Yonghong Li, Huimeng Wang, Zhaoyang Zhu, Jeff X. Zhou et al.
International Journal of Financial Studies
Auditing, Earnings Management, Governance
article

Data Asset Disclosure and Stock Price Crash Risk: A Double Machine Learning Study of Chinese A Share Firms

Frank Yonghong Li, Huimeng Wang, Zhaoyang Zhu, Jeff X. Zhou, Yuge Zhang, Yinyan Gong
article en

Abstract

In the digital economy, data assets have become key drivers of firm competitiveness and market stability. This study examines the association between data asset information disclosure and stock price crash risk. Using annual reports of Chinese A-share listed firms from 2010 to 2023, we construct a Data Asset Information Disclosure Index through textual analysis. A double machine learning framework is employed to flexibly control for high-dimensional confounders, and the results indicate that greater disclosure is associated with lower crash risk across multiple specifications. Generalized random forest analysis further highlights heterogeneous relationships, with disclosures on both internally used and transactional data assets showing stronger negative associations with crash risk. Mechanism evidence suggests that disclosure may facilitate information dissemination, strengthen investor confidence, and improve analyst forecast accuracy. The association is more pronounced in firms with weaker corporate governance, higher reporting transparency, more competitive industries, and in regions with less developed digital economies. An industry spillover pattern is also observed, whereby one firm’s disclosure is linked to reduced crash risk among peers. Overall, this study contributes to the literature on data asset disclosure and corporate risk management by providing empirical evidence from a major emerging market and by highlighting the potential relevance of enhanced transparency for digital governance and capital market resilience.

International Journal of Financial StudiesVol. 13(4)
Australian National University (AU), Georgia Institute of Technology (US), Guangdong University Of Finances and Economics (CN), Guangdong University of Finance (CN), Ocean University of China (CN), Xi'an Jiaotong University (CN)
Openalex Percentile: Top 47%
Auditing, Earnings Management, Governance
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