Search results

This paper aims to empirically examine the relationship between stock liquidity and asset pricing, using a new price impact ratio adjusted for free float as the approximation of liquidity. The free-float-adjusted ratio is free from size bias and encapsulates the impact of trading frequency. It is more comprehensive than alternative price impact ratios because it incorporates the shares available to the public for trading.

The authors are using univariate and multivariate econometric methods to test the significance of a newly created price impact ratio. The authors are using secondary data and asset pricing models in their analysis. The authors use a data sample of all US listed companies over the period of 1997–2017.

The authors provide evidence that the free-float-adjusted price impact ratio is superior to all price impact ratios used in the previous academic literature. The authors also discover that their findings are robust to the financial crises between 2007 and 2009.

This is the first comprehensive study on a newly established price impact ratio. The authors show the significance of this ratio and explain why it is superior to all previous price impact ratios, established in prior research.

The primary goal of this paper is to investigate the relationship between stock market liquidity and firm dividend policy within a market implementing the tax imputation system. The main aim is to understand how the tax imputation system influences the relationship between firm dividend policy and stock market liquidity within a cross-sectional framework.

This paper investigates the relationship between stock market liquidity and the dividend payout policy under the full tax imputation system in the Australian market. This study uses the Generalized Least Squares regressions with firm- and year-fixed effects.

In contrast to the negative relationship between the liquidity of common shares and the firms' dividends documented in countries with the double tax system, the study reveals that in Australia, the dividend payout ratios are positively associated with liquidity after controlling for various explanatory variables with both the contemporaneous and lagged time periods. Such a finding is robust to the use of alternative liquidity proxies and to the sub-period tests and remains during the COVID-19 pandemic period.

The insights derived from this study have significant implications for various stakeholders within the economy. The findings provide regulators with valuable insights to conduct a more holistic assessment of how the tax system impacts the economy, especially concerning the dividend choices of firms. Within the context of a full tax imputation system, investors can make investment decisions without factoring in the taxation impact. Simultaneously, firms can be relieved of concerns about losing investors who prioritize liquidity, particularly when a high dividend payout might not align optimally with their financial strategy.

This study contributes to the literature by extending the literature on the tax clientele effects on dividend policy, providing evidence that the tax imputation system can moderate the impact of liquidity on dividend policy. This study examines the impact of the dividend tax imputation system on the substitution effect between dividends and liquidity.

The purpose of this paper is to examine the gender diversity on boards and its effect on stock market liquidity in French boardrooms.

Using a sample of French firms between 2002 and 2012 listed on the Paris Stock Exchange (SBF120), the study uses ordinary least squares and three-stage least squares (3SLS) regressions to address endogeneity concerns on the board gender diversity.

The results show that stock market liquidity is positively and significantly associated with the presence of women directors. The authors find that investors’ decisions vary according to their positions in the board: women independent members decrease illiquidity costs, while the presence of female inside directors increases daily trading volume. In addition, the presence of female inside directors increases the firm’s ability to implement better strategies that cope with economic, social and environmental constraints which leads investors to positively react. Surprisingly, the presence of female independent directors reduces company involvement in sustainable development projects.

The empirical findings contribute to the current debate on the benefits of gender diversity on corporate boards and the effectiveness of gender-quota laws. It shows that appointing insider female’ directors incite investors to trade more stocks while appointing independents ones reduces their trading costs.

This paper shows that the benefits of female directors appointing depend on their independence of management team.

This study addresses the endogeneity between stock market liquidity, corporate governance and gender diversity. It is the first study to distinguish between the effects of women inside and independent directors on investors’ trading decisions.

The purpose of this paper is to investigate the interactions between free float and stock liquidity in the UK stock market over the period 2002–2016.

This paper is conducted using cross-sectional data regression analysis. The sample consists of 15,650 firm-level observations from the UK stock market.

The findings suggest that stocks with higher levels of free float are associated with higher levels of liquidity. This relation is significant regardless of the liquidity measure used, and is evident even after controlling for firm characteristics.

This paper contributes to the existing literature by presenting further evidence on the significance of free float in capital markets and its effect on stock liquidity, particularly for UK firms as the minimum free float requirements as announced by the FTSE group in 2011 increased from 15 to 25 percent.

The paper investigates whether stock liquidity of firms is valued by lending banks revealing that firms with higher liquidity in the capital market pay lower spreads for the loans they obtain. This relationship is causal as evidenced by using the decimalization of tick size as an exogenous shock-to-stock liquidity in a difference-in-differences setting. Reduction in financial constraint and improvement in corporate governance induced by higher stock liquidity are potential mechanisms through which liquidity impacts loan spreads. These higher liquidity firms also receive less stringent nonprice loan terms, for example, longer loan maturity and less required collateral.

The purpose of this study is to compare market reactions to the change in the demand by index funds between large and small company stocks by examining the transition of the S&P 500, S&P 400 MidCap and S&P 600 SmallCap indexes from market capitalization to free-float weighting. This unique information-free event allows not only avoiding confounding information signaling and investor awareness effects but also comparing the effect of the decrease in demand on stocks of different sizes.

This study uses the event study methodology to calculate abnormal returns and trading volume around the full-float adjustment day. It also tests for significant changes in institutional ownership and liquidity. Multivariate regressions are used to examine the relation of liquidity changes and price elasticity of demand to the cumulative abnormal returns around the full-float adjustment day.

This study finds significant decreases in stock price accompanied with significant increases in trading volume on the full-float adjustment day, and significant gains in quasi-indexer institutional ownership and liquidity. The main finding is that cumulative abnormal returns around the event period are related to changes in the number of quasi-indexer and transient institutional shareholders, not to changes in liquidity or price elasticity of demand.

This study provides the first comprehensive comparison analysis of stock market reactions to the decline in demand between large and small company stocks. As an important implication for future studies of the index effect, changes in institutional ownership should be considered in the analysis.

The purpose of this paper is to examine stock market reactions and liquidity effects following the first bank loan announcement of zero-leverage firms.

The authors use an event studies methodology in both a univariate and multivariate framework. The authors also use regression analysis.

Using a sample of 96 zero-leverage firms listed on the FTSE 350 index over the time period of 2000–2015, the authors find evidence of a significant and permanent stock price increase as a result of the initial debt announcement. The loan announcement results in a sustained increase in trading volume and liquidity. This improvement continues to persist once the authors control for stock price and trading volume effects in both the short and long run. Furthermore, the authors examine the spread decomposition around the same period, and discover the adverse selection of the bid–ask spread is significantly related to the initial bank loan announcement.

The results can be attributed to the information cost/liquidity hypothesis, suggesting that investors demand a lower premium for trading stocks with more available information.

This is the first paper to look at multiple industries, more than one loan and information asymmetry effects.

A commitment to social responsibility is indispensable to the sustainable development of a firm, and corporate social responsibility (CSR) has become a key corporate evaluation indicator. CSR's economic consequences have long been a hot topic in academic research. The authors analyze the relationship between CSR and corporate capital structure and also investigate channels through which such links are transmitted.

Using CSR score (CSRS) data published by China's Hexun (hexun.com) from 2010 to 2018, the authors control some influencing variables of the nature and characteristics of enterprises and discover that CSR can effectively improve firm leverage using ordinary least square regression. In addition, the research results remain robust for other CSR proxies, different dimensions of CSR, alternative measures of leverage and endogenous testing.

The authors discover that CSR can significantly reduce firm leverage. In addition, the research results confirm that investor attention and liquidity are the main channels by which CSR effectively reduces leverage, and other influence channels are worthy of further exploration. After examining the substitution variables and endogenous characteristics of CSR, the results remain robust.

Regarding decision-making and governance within companies, the authors conclude that CSR reports not only announce the status of CSR activities to corporate stakeholders but also reveal information on corporate financial decisions. Considering the widespread agency problems in companies, management may take advantage of investor understanding of CSR reports and conceal real information or disclose false information. They distort investors' understanding of the financial policies of financial reports to achieve their self-interests. Hence, companies must reinforce their governance and construct comprehensive monitoring mechanisms for CSR disclosure to protect their investors, establish a strong corporate reputation and facilitate long-term development.

The purpose of this paper is to analyze the impact of public and private information of Tunisian firms on stock liquidity.

The paper uses a sample of 41 Tunisian firms listed in Tunis Stock Exchange for the year 2007. Public information disclosed in annual reports and in web sites is measured by two self‐constructed disclosure indexes. To assess private information the authors use imbalance order flows. The stock liquidity proxy used in the study is Liu's multidimensional measure. Ordinary least squares (OLS) regression is applied to model the relationship between firm's information environment and stock liquidity.

First, the results provide evidence that public and private information are independent. Second, Tunisian investors do not trust the information disclosed in both annual reports and web sites, consequently it has no effect on stock liquidity, in contrast with private information. This result implies that Tunisian investors are overconfident and rely only on their private information.

The paper's findings indicate that Tunisian regulation efforts to enhance corporate transparency are not sufficient. Hence, Tunisian firms need more incentives to disclose more information to investors.

This paper, to the authors’ best knowledge, is the first to investigate the effect of both private and public information on stock liquidity. Moreover, the authors were not limited to annual reports as the only source of public information, as were prior papers, because public information was assessed in both annual reports and corporate web sites.

Non-financial information disclosure may reflect the quality of corporate financial reports or disclosure policy choices. The authors examine the relationship between corporate social responsibility (CSR) and accounting conservatism and also investigate channels through which such effects are transmitted. The purpose of this paper is to explore how CSR, as non-financial information that has received widespread attention, affects choices regarding corporate financial policy.

Using ordinary least squares regression, the authors analyze China CSR Score data for 2010–2018. They control certain influencing variables related to the nature and characteristics of enterprises and discover that CSR can effectively increase accounting conservatism. Then, they extract the components of market reactions to CSR and study the market reaction path of CSR as it affects financial policy. They also conduct a robustness test to ensure that the results are not accidental in a complex environment.

The results reveal the influence of non-financial information on firms’ financial policy. In addition, the results confirm the attraction of liquidity and investor attention as the major market reaction channels by which CSR significantly promotes accounting conservatism. Additionally, other critical paths of influence deserve further exploration. The results remain robust for alternate measures of accounting conservatism, different components of CSR, other proxies on CSR, endogenous testing and alternate estimation methods.

The study represents the first analysis of the influence of CSR information disclosure on accounting conservatism in emerging markets, and it undertakes a preliminary exploration to clarify the mechanism of CSRs’ role in accounting conservatism. The results also provide a policy reference for external supervision and internal governance of enterprises. Thus, the results can help company managers maintain a favorable corporate image and establish a high-level investor protection mechanism.