Journal of Financial and Quantitative Analysis · Volume 52, Issue 4 · August 2017

股票流动性与股价暴跌风险

作者：Xin Chang (University of Cambridge、Nanyang Technological University)

Yangyang Chen (Hong Kong Polytechnic University)

Leon Zolotoy (University of Melbourne)

摘要：我们发现股票流动性增加了股价暴跌风险。为了检验二者之间的因果效应，我们把十进制的股票交易量作为流动性的一个外生冲击。这种因果效应在短期投资者和非机构投资者持股较多的公司中更明显。股票流动性较好的公司在未来公布不良盈余消息的可能性更大，并且这种消息公布往往伴随着短期投资者而不是机构投资者的大量抛售行为。我们的结果表明流动性诱使管理者隐瞒不良消息，这是因为他们担心这种消息的披露会导致短期投资者的抛售行为。最终，不断累积的坏消息在同一时刻释放出来，导致了股票价格暴跌。

Stock Liquidity and Stock Price Crash Risk

Xin Chang (University of Cambridge、Nanyang Technological University), Yangyang Chen (Hong Kong Polytechnic University), Leon Zolotoy (University of Melbourne)

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.

原文链接: http://eds.b.ebscohost.com/eds/detail/detail?vid=2&sid=f6725c72-a985-49fd-be6a-96c45741e235%40sessionmgr102&bdata=JnNpdGU9ZWRzLWxpdmU%3d#db=edb&AN=124642510

翻译：汪国颂