Corporate Governance and Liquidity
研究发现公司治理较好的企业股票买卖价差更小、市场质量指数更高、交易价格冲击更小、基于信息的交易概率更低，且流动性指标变化与治理指数变化显著相关，表明改善公司治理有助于缓解信息不对称、提升股票流动性。
Abstract We investigate the empirical relation between corporate governance and stock market liquidity. We find that firms with better corporate governance have narrower spreads, higher market quality index, smaller price impact of trades, and lower probability of information-based trading. In addition, we show that changes in our liquidity measures are significantly related to changes in the governance index over time. These results suggest that firms may alleviate information-based trading and improve stock market liquidity by adopting corporate governance standards that mitigate informational asymmetries. Our results are remarkably robust to alternative model specifications, across exchanges, and to different measures of liquidity.