Stock Liquidity and Stock Price Crash Risk

被引：327

作者：

Chang, Xin ^{[1
,2
]}

Chen, Yangyang ^{[3
]}

Zolotoy, Leon ^{[4
]}

机构：

[1] Univ Cambridge, Cambridge Judge Business Sch, Cambridge, England

[2] Nanyang Technol Univ, Nanyang Business Sch, Singapore, Singapore

[3] Hong Kong Polytech Univ, Fac Business, Hong Kong, Hong Kong, Peoples R China

[4] Univ Melbourne, Melbourne Business Sch, Melbourne, Vic, Australia

来源：

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 2017年 / 52卷 / 04期

关键词：

INSTITUTIONAL INVESTORS; MARKET LIQUIDITY; EARNINGS MANAGEMENT; EMPIRICAL-ANALYSIS; CROSS-SECTION; RETURNS; GOVERNANCE; EFFICIENCY; SURPRISES; COMPENSATION;

D O I：

10.1017/S0022109017000473

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We find that stock liquidity increases stock price crash risk. To identify the causal effect, we use the decimalization of stock trading as an exogenous shock to liquidity. This effect is increasing in a firm's ownership by transient investors and nonblockholders. Liquid firms have a higher likelihood of future bad earnings news releases, which are accompanied by greater selling by transient investors, but not blockholders. Our results suggest that liquidity induces managers to withhold bad news, fearing that its disclosure will lead to selling by transient investors. Eventually, accumulated bad news is released all at once, causing a crash.

引用

页码：1605 / 1637

页数：33

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