Investor Protection and Value Impact of Stock Liquidity
Journal of International Business Studies, Forthcoming
44 Pages Posted: 16 Feb 2014 Last revised: 19 Oct 2018
Date Written: August 1, 2018
This paper investigates the effect of investor protection on the value impact of stock liquidity. Using a sample of rms from 40 countries for the period between 1996 and 2010, we show that investor protection is positively associated with the value impact of stock liquidity. This association is robust to the difference-in-differences approach based on a natural experiment. Further evidence shows that the positive effect of home country investor protection the liquidity-valuation association attenuates in countries with globally integrated capital markets.
Keywords: Firm Value, Stock Liquidity, Investor Protection
JEL Classification: G10, G14, G15
Suggested Citation: Suggested Citation