The effect of information quality on liquidity risk

• 成果类型: Article
• 署名作者: Ng, Jeffrey
• 署名单位: Massachusetts Institute of Technology (MIT)
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/j.jacceco.2011.03.004
• 发表日期: 2011
• 关键词: CORPORATE DISCLOSURE; ANALYSTS FORECASTS; cross-section; earnings; accruals; cost; COMPENSATION; COMMONALITY; proxies; equity

摘要

I investigate whether information quality affects the cost of equity capital through liquidity risk. Liquidity risk is the sensitivity of stock returns to unexpected changes in market liquidity; recent asset pricing literature has emphasized the importance of this systematic risk. I find that higher information quality is associated with lower liquidity risk and that the reduction in cost of capital due to this association is economically significant. I also find that the negative association between information quality and liquidity risk is stronger in times of large shocks to market liquidity. (C) 2011 Elsevier B.V. All rights reserved.