Disclosure And Liquidity
AbstractThe purpose of this paper is to test empirically the relationship between two important concepts: disclosure and liquidity. Using a sample of Spanish quoted firms between 1994 and 2000 we show that the estimation of the relationship between disclosure and liquidity depends crucially on two factors: a) the multidimensionality of the concept of liquidity; b) the use of an econometric methodology that deals properly with the features of the sample used. However the use of the Amihud (2002) illiquidity measure provides evidence in favour of a positive relationship between disclosure and liquidity.
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Bibliographic InfoPaper provided by Universidad Carlos III, Departamento de Economía de la Empresa in its series Business Economics Working Papers with number wb050202.
Date of creation: Jan 2005
Date of revision:
This paper has been announced in the following NEP Reports:
- NEP-ACC-2005-02-06 (Accounting & Auditing)
- NEP-ALL-2005-02-06 (All new papers)
- NEP-FIN-2005-02-06 (Finance)
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- Glosten, Lawrence R, 1994. " Is the Electronic Open Limit Order Book Inevitable?," Journal of Finance, American Finance Association, vol. 49(4), pages 1127-61, September.
- Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November.
- Jones, Charles M. & Lipson, Marc L., 2001. "Sixteenths: direct evidence on institutional execution costs," Journal of Financial Economics, Elsevier, vol. 59(2), pages 253-278, February.
- Amihud, Yakov, 2002. "Illiquidity and stock returns: cross-section and time-series effects," Journal of Financial Markets, Elsevier, vol. 5(1), pages 31-56, January.
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