THE JOURNAL OF FINANCIAL ECONOMICS· VOL.124, ISSUE.3 · JUNE 2017

股票流动性与破产风险

作者：Jonathan Brogaard (University of Washington), Dan Li (The University of Hong Kong), Ying Xia (Monash University)

摘要：这篇文章检验了股票流动性对公司破产风险的影响。使用证券交易委员会百分位报价规则作为对股票流动性的一次冲击，我们展示了流动性增强会降低破产风险。具有最高破产风险的股票流动性增强所带来的破产风险降低程度最为明显。我们还发现了股票流动性降低公司破产风险的两种机理：提升股价的信息效率和促进公司大股东治理。在这两种机理，信息效益渠道比公司治理渠道的解释程度更高。

关键字：股票流动性，破产风险，EDF，价格有效性，治理

Stock liquidity and default risk

Jonathan Brogaard (University of Washington), Dan Li (The University of Hong Kong), Ying Xia (Monash University)

ABSTRACT

This paper examines the impact of stock liquidity on firm bankruptcy risk. Using the Securities and Exchange Commission decimalization regulation as a shock to stock liquidity, we establish that enhanced liquidity decreases default risk. Stocks with the highest default risk experience the largest improvements. We find two mechanisms through which stock liquidity reduces firm default risk: improving stock price informational efficiency and facilitating corporate governance by blockholders. Of the two mechanisms, the informational efficiency channel has higher explanatory power than the corporate governance channel.

Keywords: Stock liquidity, Bankruptcy risk, EDF, Price efficiency, Governance

原文链接：

http://www.sciencedirect.com/science/article/pii/S0304405X17300405

翻译：吴雨玲