Stock market liquidity and firm value

被引：385

作者：

Fang, Vivian W. ^{[2
]}

Noe, Thomas H. ^{[1
,3
,4
]}

Tice, Sheri ^{[1
]}

机构：

[1] Tulane Univ, AB Freeman Sch Business, New Orleans, LA 70118 USA

[2] Rutgers State Univ, Rutgers Business Sch, Newark, NJ 07102 USA

[3] Univ Oxford, Said Business Sch, Oxford OX1 1HP, England

[4] Univ Oxford, Balliol Coll, Oxford OX1 1HP, England

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2009年 / 94卷 / 01期

关键词：

Stock market liquidity; Firm performance; Feedback mechanism; Managerial compensation; Blockholder intervention; CORPORATE GOVERNANCE; TRANSACTION COSTS; RETURNS; PRICES; PERFORMANCE; EQUITY; COMPENSATION; MANIPULATION; ILLIQUIDITY; VALUATION;

D O I：

10.1016/j.jfineco.2008.08.007

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper investigates the relation between stock liquidity and firm performance. The study shows that firms with liquid stocks have better performance as measured by the firm market-to-book ratio. This result is robust to the inclusion of industry or firm fixed effects, a control for idiosyncratic risk, a control for endogenous liquidity using two-stage least squares, and the use of alternative measures of liquidity. To identify the causal effect of liquidity on firm performance, we study an exogenous shock to liquidity-the decimalization of stock trading-and show that the increase in liquidity around decimalization improves firm performance. The causes of liquidity's beneficial effect are investigated: Liquidity increases the information content of market prices and of performance-sensitive managerial compensation. Finally, momentum trading, analyst coverage, investor overreaction, and the effect of liquidity on discount rates or expected returns do not appear to drive the results. (C) 2009 Elsevier B.V. All rights reserved.

引用

页码：150 / 169

页数：20

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