The DOI matches its Crossref record; 66 of the 66 references it cites were found in a registry or an index.
Stock Liquidity and Stock Price Crash Risk
Open accessAbstract
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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Citations
Cites
Common risk factors in the returns on stocks and bonds
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A Caution Regarding Rules of Thumb for Variance Inflation Factors
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Illiquidity and stock returns: cross-section and time-series effects
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The economic implications of corporate financial reporting
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Market Liquidity and Funding Liquidity
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Metadata
- Authors
- Chang, X., Chen, Y., & Zolotoy, L.
- Venue
- Journal of Financial and Quantitative Analysis
- Publisher
- Cambridge University Press (CUP)
- Published
- 2017-07-25
- Volume
- 52
- Issue
- 4
- Pages
- 1605-1637
- ISSN
- 0022-1090 (ISSN-L)
- 1756-6916
- OpenAlex
- W3122804190
- Cited by
- 486
- References
- 66
- FWCI
- 33.29
- Type
- journal article
- Language
- en
- Open access
- bronze
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- Chang, X., Chen, Y., & Zolotoy, L. (2017). Stock Liquidity and Stock Price Crash Risk. Journal of Financial and Quantitative Analysis. https://doi.org/10.1017/s0022109017000473
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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