Investor protection and the value impact of stock liquidity

• 成果类型: Article; Proceedings Paper
• 署名作者: Huang, Tao; Wu, Fei; Yu, Jing; Zhang, Bohui
• 署名单位: Xi'an Jiaotong-Liverpool University; Shanghai Jiao Tong University; University of Western Australia; The Chinese University of Hong Kong, Shenzhen; The Chinese University of Hong Kong, Shenzhen
• 刊物名称: JOURNAL OF INTERNATIONAL BUSINESS STUDIES
• ISSN/ISSBN: 0047-2506
• DOI: 10.1057/s41267-019-00228-6
• 发表日期: 2020
• 页码: 72-94
• 关键词: firm value; STOCK LIQUIDITY; Investor protection

摘要

This paper investigates the effect of investor protection on the value impact of stock liquidity. Using a sample of firms from 40 countries for the period between 1996 and 2010, we show that investor protection is positively associated with the value impact of stock liquidity. This association is robust to the difference-in-differences approach based on a natural experiment. Further evidence shows that the positive effect of home-country investor protection on the liquidity-valuation association attenuates in countries with globally integrated capital markets.