Abstract

http://ssrn.com/abstract=1565776
 
 

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Transparency and Liquidity Uncertainty in Crisis Periods


Mark H. Lang


University of North Carolina at Chapel Hill

Mark G. Maffett


University of Chicago - Booth School of Business

July 1, 2011

Journal of Accounting & Economics (JAE), Vol. 52, pp. 101-125, 2011
Fifth Singapore International Conference on Finance 2011

Abstract:     
We document, for a global sample, that firms with greater transparency (based on accounting standards, auditor choice, earnings management, analyst following and forecast accuracy) experience less liquidity volatility, fewer extreme illiquidity events and lower correlations between firm-level liquidity and both market liquidity and market returns. Results are robust to numerous sensitivity analyses, including controls for endogeneity and propensity matching. Results are particularly pronounced during crises, when liquidity variances, covariances and extreme illiquidity events increase substantially, but less so for transparent firms. Finally, liquidity variance, covariance and the frequency of extreme illiquidity events are all negatively correlated with Tobin’s Q.

Number of Pages in PDF File: 58

Keywords: Liquidity, Transparency, Financial Crises, Commonality, International Accounting

JEL Classification: G01, G15, G30

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Date posted: March 7, 2010 ; Last revised: September 19, 2012

Suggested Citation

Lang, Mark H. and Maffett, Mark G., Transparency and Liquidity Uncertainty in Crisis Periods (July 1, 2011). Journal of Accounting & Economics (JAE), Vol. 52, pp. 101-125, 2011; Fifth Singapore International Conference on Finance 2011 . Available at SSRN: http://ssrn.com/abstract=1565776

Contact Information

Mark H. Lang
University of North Carolina at Chapel Hill ( email )
Kenan-Flagler Business School
McColl Building
Chapel Hill, NC 27599-3490
United States
919-962-1644 (Phone)
919-962-4727 (Fax)

Mark G. Maffett (Contact Author)
University of Chicago - Booth School of Business ( email )
5807 S. Woodlawn Avenue
Chicago, IL 60637
United States

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