Journal of Accounting and Economics Vol. 52 No. 2-3 2011
The effect of information quality on liquidity risk
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.
- DOI
- 10.1016/j.jacceco.2011.03.004
- Volume
- 52
- Issue
- 2-3
- Pages
- 126-143
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref