Stock Liquidity and Stock Price Crash Risk
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 likeliho...
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| Published in | Journal of financial and quantitative analysis Vol. 52; no. 4; pp. 1605 - 1637 |
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| Main Authors | , , |
| Format | Journal Article |
| Language | English |
| Published |
New York, USA
Cambridge University Press
01.08.2017
CAMBRIDGE UNIVERSITY PRESS |
| Subjects | |
| Online Access | Get full text |
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| 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. |
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| AbstractList | 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. |
| Author | Chang, Xin Chen, Yangyang Zolotoy, Leon |
| Author_xml | – sequence: 1 givenname: Xin surname: Chang fullname: Chang, Xin – sequence: 2 givenname: Yangyang surname: Chen fullname: Chen, Yangyang – sequence: 3 givenname: Leon surname: Zolotoy fullname: Zolotoy, Leon email: x.chang@jbs.cam.ac.uk |
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| Copyright | Copyright © Michael G. Foster School of Business, University of Washington 2017 COPYRIGHT 2017, MICHAEL G. FOSTER SCHOOL OF BUSINESS, UNIVERSITY OF WASHINGTON |
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| SubjectTerms | Institutional investments Prices Quantitative analysis Skewness Stock exchanges Stock prices |
| Title | Stock Liquidity and Stock Price Crash Risk |
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