The effect of information quality on liquidity risk
Name
Ng_The Effect.pdf
Size
309.13 KB
Format
Adobe PDF
Checksum (MD5)
bca3dfca2d1e1327b76ea08458218c34
Author(s)
Ng, Tee Yong
Date Issued
March 2011
Journal
Journal of Accounting and Economics
Publisher
Elsevier
Citation
Ng, Jeffrey. “The Effect of Information Quality on Liquidity Risk.” Journal of Accounting and Economics 52, no. 2–3 (November 2011): 126–143.
Version
Author's final manuscript
Abstract
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.
MIT Department
Sloan School of Management
Terms of Use
Creative Commons Attribution-Noncommercial-NoDerivatives
Persistent DSpace Link
DOI of Published Version
https://doi.org/10.1016/j.jacceco.2011.03.004
