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This study examines the influence of stock liquidity on stock price crash risk and the moderating role of institutional blockholders in Vietnam’s stock market.

Crash risk is measured by the negative coefficient of skewness of firm-specific weekly returns (NCSKEW) and the down-to-up volatility of firm-specific weekly stock returns (DUVOL). Liquidity is measured by adjusted Amihud illiquidity. The two-stage least squares method is used to address endogeneity issues.

Using firm-level data from Vietnam, we find that crash risk increases with stock liquidity. The relationship is stronger in firms owned by institutional blockholders. Moreover, intensive selling by institutional blockholders in the future will positively moderate the relationship between liquidity and crash risk.

Since stock liquidity could exacerbate crash risk through institutional blockholder trading, firm managers should avoid bad news accumulation and practice timely information disclosures. Investors should be mindful of the risk associated with liquidity and blockholder trading.

We contribute to the literature by showing that the activities of blockholders could partly explain the relationship between liquidity and crash risk. High liquidity encourages blockholders to exit upon receiving private bad news.

This study aims to provide empirical evidence on the impact of foreign share ownership on the liquidity of the Tunisian Stock Exchange (TSE).

The authors hypothesize in the first strand that stock liquidity could be positively affected by foreign ownership based on the real friction channel. The authors then hypothesize in the second strand, based on the information friction channel, that foreign ownership's impact on stock liquidity could be insignificant or negative and that foreign investors raise the level of information asymmetry. A sample of 318 firm-year observations from Tunisia over the 2012–2017 period and a random-effects estimation were used. Moreover, using the 2SLS estimator, a robustness check framework was applied in order to address any potential reverse causality concerns.

The authors find strong evidence that higher foreign ownership improves stock liquidity. More specifically, firms with higher foreign ownership engender a lower bid-ask spread, a better stock ability to absorb a large amount of trading volume, and a larger depth. These findings are still valid when reverse causality concerns are addressed through the use of the 2SLS estimator.

The paper contributes to the existing literature by focusing on the ownership–liquidity relationship on a frontier market. It provides further empirical support that higher corporate governance quality reduces the information asymmetry problem and enhances stock market liquidity.

The abnormality of the month-of-the-year and Ramadan effects has extensively existed in the stock and other markets. The commercial strategy pattern and the computation of such predictable patterns in the market allow investors to make money. By using anomalies such as the month-of-the-year and the Ramadan effects on earnings management (EM), it is possible to achieve such a goal. This study aims to investigate the month-of-the-year effect and the Ramadan effect on the relationship between accrual earnings management and real earnings management (AEM and REM, respectively) and liquidity in the Iranian capital market.

This empirical analysis comprises a panel data set of 80 listed firms (400 observations) on the Tehran Stock Exchange from 2016 to 2020.

The findings exhibit that when AEM and REM increase, information asymmetry also increases. The simultaneous increase of these variables leads to a decrease in stock liquidity. Furthermore, the results indicate that the month-of-the-year and Ramadan effects intensify the negative relationship between AEM and REM with stock liquidity. Therefore, EM is affected by the investor’s behavior in specific months.

Anomalies caused by the Ramadan effect and the month-of-the-year effect on reducing liquidity in the Iranian stock market were confirmed. Investors can use these anomalies to identify predictable patterns, exchange securities according to those patterns and earn abnormal returns.

To the best of the authors’ knowledge, this is the first study that empirically examined the simultaneous effect of Gregorian and Islamic calendar anomalies on the relationship between EM and liquidity, and while helping managers and other readers, it can be the basis for future research.

This study aims to investigate the relationship between stock liquidity, future investment, future investment efficiency and the moderating effect of financial constraints.

To serve the purpose of the study, the data of 178 companies listed on the Tehran Stock Exchange in 2012–2017 were examined. In this research, two Amihud liquidity and stock trading turnover measures were taken for the liquidity. Due to variance heterogeneity, the FGLS test was used. Moreover, a modified multiple regression analysis was used to investigate the moderating role of financial constraints.

The results showed a significant positive relationship between the firm stock liquidity in the current year and the next year investment; the firm stock liquidity (based on the stock trading turnover) in the current year and the next two years’ investment; the firm stock liquidity (based on the trading turnover index) in the current year and the next year investment efficiency; and the firm stock liquidity (based on the stock trading turnover) in the current year and the next two years’ investment efficiency. Moreover, financial constraints negatively moderated the relationship of firm stock liquidity (based on trading turnover index) in the current year and investment in the next year; investment in the next two years; investment efficiency in the next year; and investment efficiency in the next two years.

Given the importance of investment and investment efficiency in emerging markets especially in Asian emerging markets, and because the predicted impacts through financing constraints are usually unclear, this paper attempted to fill the existing gap and be innovative in this regard.

The positive illiquidity–return relationship (so-called liquidity premium) is a well-established pattern in international developed stock markets. The magnitude of liquidity premium should increase with market illiquidity. Existing studies, however, do not confirm this conjecture with regard to frontier markets. This may result from applying different approaches to the investors' holding period. The paper aims to identify the role of the holding period in shaping the illiquidity–return relationship in emerging and frontier stock markets, which are arguably considered illiquid.

The authors utilise the data on stocks listed on fourteen exchanges in Central and Eastern Europe. The authors regress stock returns on liquidity measures variously transformed to reflect the clientele effect in a liquidity–return relationship.

The authors show that the investors' holding period moderates the illiquidity–return relationship in CEE markets and also show that the liquidity premium in these markets is statistically and economically relevant.

The findings may be of great interest to investors, companies and regulators. Investors and companies should take liquidity into account when making decisions; regulators should employ liquidity-enhancing actions to decrease companies' cost of capital and expand firms' investment opportunities, which will improve growth perspectives for the entire economy.

These findings enrich the understanding of the role that the investors' holding period plays in the illiquidity–return relationship in CEE markets. To the best knowledge, this is the first study which investigates the effect of holding period on liquidity premium in emerging and frontier markets.

The study examines the relationship between news intensity, media sentiment and market microstructure invariance-implied measures of trading activity and liquidity of Chinese property developer stocks during the 2020–2022 Chinese property sector crisis.

The authors adopt the extension of the news article invariance hypothesis, which is a generalization of the market microstructure invariance conjecture, from January 2020 to January 2022 to test specific quantitative relationships between the arrival rate of public information, trading activity and a nonlinear function of a proxy for the probability of informed trading. Empirical tests are based on a dataset of 22,412 firm-day observations and two count-data models to correct for overdispersion and the excess number of zeros. Seventy-five stocks of Chinese companies from the property development industry (including the China Evergrande Group) were included in the sample.

The authors reject the news article invariance hypothesis but document a positive and significant relationship between the flow of public information and risk liquidity. Additionally, the authors find that the proxy for informed trading activity is positively related to the arrival rates of public information from October 2021 to January 2022.

The findings support the hypothesis that negative (positive) media sentiment induces significant deterioration (insignificant improvement) in stock liquidity. The authors find that an increase in the number of news articles about a company corresponds to a higher liquidity of Chinese property developers' stocks after controlling for media sentiment.

This study aims to systematically review the literature in the fields of liquidity, informational efficiency and default risk. The authors outline the key research streams and provide possible pathways for future research.

The study adopts bibliographic mapping to identify the most influential studies in the research fields of liquidity, informational efficiency and default risk from 1984 to 2021.

The study identifies four key research themes that include efficiency and transparency of markets; corporate yield spreads; market interactions: bonds, stocks and cryptocurrencies; and corporate governance. By assessing publications published from 2018 to 2021, the authors also document seven key emerging research trends: cross markets, managerial learning and corporate governance, state ownership and government subsidies, international evidence, machine learning (FinTech approaches), environmental themes and financial crisis. Drawing on these emerging trends, the authors highlight the opportunities for future research.

Keyword searches have limitations since some studies might be overlooked if they do not match the specified search criteria, even though their relevance to the topic is under investigation. Adopt the R project to expand this review by incorporating more literature from other databases, such as the Scopus database could be a possible solution.

The four key research streams contribute to a comprehensive understanding of liquidity, informational efficiency and default risk. The emerging trends integrate existing knowledge and leave the chance for innovative research to expand the research frontier.

This study fulfills the systematic literature review streams in the fields of liquidity, informational efficiency and default risk, and provides fruitful opportunities for future research.

Research on the effect of executive equity incentives is equivocal. Based on agency theory, some scholars take the convergence of interest logic to highlight the benefits of executive equity incentives. In contrast, others adopt the entrenchment logic to emphasize the increased agency costs. This study attempts to reconcile the debate on executive equity incentives and integrates the opposing views to unveil how executive equity incentives impact corporate social responsibility (CSR) performance.

Using the panel dataset of Chinese A-share listed firms from 2006 to 2022, this study integrates the convergence of interest and entrenchment logic to examine how executive equity incentives affect CSR performance.

We find that the relationship between executive equity incentives and CSR performance follows an inverted U-shaped form. According to the convergence of interest logic, executive equity incentives reduce agency costs when allocating resources to engage in CSR activities and enable firms to increase their CSR investments, ultimately realizing increased CSR performance. After a threshold, however, the accumulation of extensive equity incentives causes the entrenchment effect, resulting in declined CSR performance. Our empirical results also shed new light on its contingent perspective – the inverted U-shaped relationship is attenuated when firms’ stock liquidity is high.

This study attempts to reconcile the debate on executive equity incentives and integrates the opposing views to unveil the inverted U-shaped relationship between executive equity incentives and CSR performance. Our study opens promising avenues for further research on corporate governance and CSR strategies.

The purpose of this study is to determine stock market reactions to the news about innovations and other types of publications for illiquid stocks.

(1) The authors opt for machine learning techniques and expert analysis and propose their own lexicon of innovations based on the news articles published on the professional website; (2) the dataset consists of the data on 2,000 US companies for 6 years; (3) the text analysis including BERT and Top2 Vec models which are superior to Latent Dirichlet allocation (LDA) in information criteria allows for more accurate evaluation of news sentiment and idea; and (4) furthermore, random forest and gradient boosting were applied to increase validity of results and demonstrate factor importance.

(1) The paper presents theoretical findings adding to signalling theory and efficient market hypothesis for US illiquid stocks; (2) this study suggests that information on product innovations (unlike other types of innovations) has a direct and significant effect on the return of illiquid stocks; (3) the results also give evidence that under uncertainty innovation-related publications do not affect the return of illiquid stocks; and (4) the analysis of the news topics (narratives) demonstrates that only the narrative related to important corporate announcements has a positive impact on the return of illiquid stocks.

(1) The authors are the first to conduct a large-scale study of the impact of various information on the return of illiquid stocks; (2) the paper focuses on information on several types of innovations with regard to the return of illiquid stocks; (3) based on Top2 Vec model, this study identifies the key topics-narratives discussed by investors and assesses their impact on the return of illiquid stocks; and (4) as an information source, the authors use the sample comprising a total of 1.4m news articles released on the professional website for investors “Benzinga”.

This study examines the determinants of idiosyncratic risk (IR) or unsystematic risk. The study also examines the determinants of IR by dividing the firms into different categories: beta-based firms, liquid and illiquid firms and financially constrained (FC) and unconstrained (FUC) firms.

The fixed effects static panel data model specifications are formulated based on Hausman (1978) test for BRICS (Brazil, Russia, India, China, and South Africa) member countries over the period 2000–2019. Moreover, the t-test is applied to see whether the returns of different types of portfolios are significantly different.

The portfolio analysis results show that, on average, high IR firms tend to be small in size, highly leveraged, have low competitiveness, low profitability, less dividend yield and low returns for all the sampled countries. The sample paired t-test also confirms that a significant difference exists between extreme portfolios: small and large size and low IR and high IR portfolios. The panel regression results show that firm size, market power, price-to-earnings ratio, return on equity (ROE) and dividend yield negatively relates to IR. Yet, both leverage and liquidity are positively related to IR. However, the sign of momentum returns is mostly positive for the entire sample. The coefficient values for high-beta, FC and illiquid firms are more significant and large than the firms' counterparts for all BRICS member countries. These results support the hypothesis of an under-diversified portfolio and suggest that the above-mentioned firm-specific variables are the significant determinants of unsystematic risk.

The securities exchange commission, as the supervisor of the public limited companies, needs to increase its role in investor protection related to the uncertainty of investment in the capital market. Accordingly, in making investment decisions in a stock exchange, investors can use the information that captures unsystematic risk for investment decision-making.

This study is the first to explore the determinants of IR in top emerging countries. Second, none of the existing studies has focused on the determinants of the IR based on different categories of firms.