Illiquidity and Price Informativeness
研究发现，股票流动性越强，其价格对未来盈利增长的预测能力越强；通过控制市场不确定性和外生冲击，证实了非信息驱动的流动性对价格发现的影响。
This paper shows that liquidity conditions are important determinants of the predictability of earnings. Liquid stock prices are more informative about future firm earnings growth than illiquid stock prices. Because information-related illiquidity can arise when uncertainty is high, we focus our analysis on evidence that noninformational liquidity affects price informativeness. Endogeneity is further addressed using controls for market uncertainty and several exogenous shocks as natural experiments. Thus, our results lend support for the impact of liquidity on price discovery. This paper was accepted by Lauren Cohen, finance.