The report of 19th CPC National Congress claims that it is necessary to improve the financial regulatory system to forestall systemic financial risks．Prior studies on financial regulation mainly focus on ex post penalties．However，preventive regulation plays a key role in forestalling systemic financial risks．For example，The Shanghai and Shenzhen Stock Exchange have sent comment letters in time to firms which have potential risks in financial report recently．So，based on the experiment environment of the Exchange’s comment letters，the paper examines whether preventive regulation mitigates stock price crash risk effectively．The results show that exchange comment letters can mitigate stock price crash risk and the effect is more pronounced if a firm’s financial report is more opaque．Therefore，these findings offer a new regulatory viewpoint that the Exchange’s comment letters are beneficial to protect investors’interest and maintain the stability of financial markets．