Marking-to-Market, Commonality in Liquidity, and Government Guarantee Effect
研究公允价值计量（逐日盯市）是否加剧了股票流动性的共同性，发现其与更高的流动性共同性相关，且政府担保能缓解流动性共同性对股票非流动性的正向影响。
Based on market prices and other market inputs to value assets and liabilities, adopting fair-value measurement creates many unpredictable economic consequences, such as amplifying the vicious cycle of falling prices during a worldwide financial crisis. This article investigates whether marking-to-market disclosure affects the commonality in liquidity. Commonality in liquidity is defined as the sensitivity of stock liquidity to the variation in market liquidity. My study indicates that marking-to-market disclosure is associated with higher commonality in liquidity. In addition, I find that higher commonality in liquidity is associated with lower stock liquidity. I also find that a positive association between commonality in liquidity and stock illiquidity is mitigated by the effect of a government guarantee.