Crash probability anomaly in the Chinese stock market

•We investigate the crash probability anomaly in the Chinese stock market.•We apply the trinomial logit model to predict the ex-ante probability.•Stocks with high crash probability yield substantially low returns in China.•The bubble mechanism of the Chinese market is different from that of the U.S. market. 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.