Does Corporate Policy Risk Affect Stock Liquidity? Panel Data Evidence from Listed Companies in a Major Emerging Market

被引:0
作者
Sahu, Asis Kumar [1 ]
Debata, Byomakesh [1 ]
Gherghina, Stefan Cristian [2 ]
机构
[1] BITS Pilani, Dept Econ & Finance, Pilani Campus, Pilani 333031, Rajasthan, India
[2] Bucharest Univ Econ Studies, Dept Finance, 6 Piata Romana, Bucharest 010374, Romania
关键词
corporate policy risk; stock liquidity; information asymmetry; financial crisis; INFORMATION ASYMMETRY; CEO; CASH; GOVERNANCE; LEVERAGE; DETERMINANTS; UNCERTAINTY; INVESTMENT; RETURNS; DEBT;
D O I
10.3390/economies13020030
中图分类号
F [经济];
学科分类号
02 ;
摘要
This study examines the impact of firms' overall corporate policy risk on stock liquidity. This study constructs a novel overall corporate policies risk index (PRI) for firms by capturing risk embedded in managers' different policy decisions, such as investment, financing, diversification, and cash management, by weighting each policy risk through the regression decomposition method. Using a large sample of 466 India-listed firms from the financial year 2003-2004 to 2022-2023, this study finds that there is a negative association between PRI and stock liquidity. The study further explores the information environment heterogeneity and finds that the adverse impact of a PRI is a more prominent firm that is hard to value or in a less transparent environment as compared to the transparent firms. Moreover, the adverse impact of PRI on stock liquidity is significantly more pronounced during financial crises, while its effect is less substantial during non-crisis periods. The robustness of these results is confirmed even after addressing endogeneity issues using various techniques, such as propensity score matching (PSM), two-stage least squares instrumental variable approach (2 SLS IV), and the system-generalized method of moments (System GMM).
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页数:27
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