Illiquidity and Price Informativeness

• 成果类型: Article
• 署名作者: Kerr, Jon; Sadka, Gil; Sadka, Ronnie
• 署名单位: University System of Ohio; Ohio State University; University of Texas System; University of Texas Dallas; Boston College
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2018.3154
• 发表日期: 2020
• 页码: 334-351
• 关键词: PRICE INFORMATIVENESS; Stock prices; Aggregate earnings; illiquidity; Expected returns; Expected earnings

摘要

This paper shows that liquidity conditions are important determinants of the predictability of earnings. Liquid stock prices are more informative about future firm earnings growth than illiquid stock prices. Because information-related illiquidity can arise when uncertainty is high, we focus our analysis on evidence that noninformational liquidity affects price informativeness. Endogeneity is further addressed using controls for market uncertainty and several exogenous shocks as natural experiments. Thus, our results lend support for the impact of liquidity on price discovery.