The Effect of Stock Liquidity on Corporate Risk-Taking

被引:10
作者
Hsu, Charles [1 ]
Ma, Zhiming [2 ]
Wu, Liansheng [2 ]
Zhou, Kaitang [3 ]
机构
[1] Hong Kong Univ Sci & Technol, Kowloon, Hong Kong, Peoples R China
[2] Peking Univ, Beijing, Peoples R China
[3] Wuhan Univ, Wuhan, Peoples R China
关键词
stock liquidity; risk-taking; cost of capital; pay-for-performance sensitivity; split share structure reform; MARKET LIQUIDITY; CEO COMPENSATION; INCENTIVES; GOVERNANCE; PERFORMANCE; DIVERSIFICATION; PRIVATIZATION; SENSITIVITY; INVESTMENT; THREATS;
D O I
10.1177/0148558X18798231
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
This study examines the effect of stock liquidity on corporate risk-taking behavior. We find that stock liquidity has a positive and significant effect on corporate risk-taking. We find consistent results when we use the split share structure reform (SSSR) in China as an exogenous shock to stock liquidity. We also investigate the channels through which stock liquidity affects risk-taking and find that increases in stock liquidity lower the cost of capital and increase the pay-for-performance sensitivity of managers. Finally, we conduct cross-sectional tests to rule out privatization as an alternative explanation for our results. Our study sheds light on the real effects of stock liquidity and contributes to the understanding of capital market development.
引用
收藏
页码:748 / 776
页数:29
相关论文
共 60 条
[1]   Was Prometheus unbound by chance? Risk, diversification, and growth [J].
Acemoglu, D ;
Zilibotti, F .
JOURNAL OF POLITICAL ECONOMY, 1997, 105 (04) :709-751
[2]   Illiquidity and stock returns: cross-section and time-series effects [J].
Amihud, Y .
JOURNAL OF FINANCIAL MARKETS, 2002, 5 (01) :31-56
[3]   Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange [J].
Amihud, Y ;
Mendelson, H ;
Lauterbach, B .
JOURNAL OF FINANCIAL ECONOMICS, 1997, 45 (03) :365-390
[4]  
[Anonymous], 2012, NERI Index of Marketization of China's Provinces
[5]   The relation between equity incentives and misreporting: The role of risk-taking incentives [J].
Armstrong, Christopher S. ;
Larcker, David F. ;
Ormazabal, Gaizka ;
Taylor, Daniel J. .
JOURNAL OF FINANCIAL ECONOMICS, 2013, 109 (02) :327-350
[6]   Executive stock options, differential risk-taking incentives, and firm value [J].
Armstrong, Christopher S. ;
Vashishtha, Rahul .
JOURNAL OF FINANCIAL ECONOMICS, 2012, 104 (01) :70-88
[7]  
Back K., 2015, 19669 NAT BUR EC RES
[8]   Shaping Liquidity: On the Causal Effects of Voluntary Disclosure [J].
Balakrishnan, Karthik ;
Billings, Mary Brooke ;
Kelly, Bryan ;
Ljungqvist, Alexander .
JOURNAL OF FINANCE, 2014, 69 (05) :2237-2278
[9]   Enjoying the quiet life? Corporate governance and managerial preferences [J].
Bertrand, M ;
Mullainathan, S .
JOURNAL OF POLITICAL ECONOMY, 2003, 111 (05) :1043-1075
[10]   A Unified Theory of Tobin's q, Corporate Investment, Financing, and Risk Management [J].
Bolton, Patrick ;
Chen, Hui ;
Wang, Neng .
JOURNAL OF FINANCE, 2011, 66 (05) :1545-1578