dc.contributor.authorChang, Xin
dc.contributor.authorChen, Yangyang
dc.contributor.authorZolotoy, Leon
dc.identifier.citationChang, X., Chen, Y., & Zolotoy, L. (2017). Stock Liquidity and Stock Price Crash Risk. Journal of Financial and Quantitative Analysis, 52(4), 1605-1637. doi:10.1017/S0022109017000473en_US
dc.description.abstractWe 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.en_US
dc.format.extent33 p.en_US
dc.relation.ispartofseriesJournal of Financial and Quantitative Analysisen_US
dc.rights© 2017 Michael G. Foster School of Business, University of Washington. This paper was published in Journal of Financial and Quantitative Analysis and is made available as an electronic reprint (preprint) with permission of Michael G. Foster School of Business, University of Washington. The published version is available at: [http://dx.doi.org/10.1017/S0022109017000126]. One print or electronic copy may be made for personal use only. Systematic or multiple reproduction, distribution to multiple locations via electronic or other means, duplication of any material in this paper for a fee or for commercial purposes, or modification of the content of the paper is prohibited and is subject to penalties under law.en_US
dc.subjectStock Liquidityen_US
dc.subjectStock Priceen_US
dc.subjectDRNTU::Business::Operations managementen_US
dc.titleStock liquidity and stock price crash risken_US
dc.typeJournal Article
dc.description.versionPublished versionen_US

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