Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/68904
Title: Stock liquidity and stock price crash risk
Authors: Chang, XS 
Chen, Y 
Zolotoy, L
Issue Date: 2017
Publisher: Cambridge University Press
Source: Journal of financial and quantitative analysis, 2017, v. 52, no. 4, p. 1605-1637 How to cite?
Journal: Journal of financial and quantitative analysis 
Abstract: 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.
URI: http://hdl.handle.net/10397/68904
ISSN: 0022-1090
EISSN: 1756-6916
DOI: 10.1017/S0022109017000473
Appears in Collections:Journal/Magazine Article

Access
View full-text via PolyU eLinks SFX Query
Show full item record

SCOPUSTM   
Citations

1
Last Week
0
Last month
Citations as of Jun 14, 2018

WEB OF SCIENCETM
Citations

1
Last Week
0
Last month
Citations as of Jun 18, 2018

Page view(s)

35
Last Week
1
Last month
Citations as of Jun 17, 2018

Google ScholarTM

Check

Altmetric


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.