Stock Liquidity and Stock Price Crash Risk
研究发现股票流动性会提高股价崩盘风险，通过股票交易十进制化作为外生冲击识别因果关系，机制是流动性促使经理人隐瞒坏消息，最终集中释放导致崩盘。
We find that stock liquidity increases stock price crash risk. To identify the causal effect, we use the decimalization of stock trading as an exogenous shock to liquidity. This effect is increasing in a firm’s ownership by transient investors and nonblockholders. Liquid firms have a higher likelihood of future bad earnings news releases, which are accompanied by greater selling by transient investors, but not blockholders. Our results suggest that liquidity induces managers to withhold bad news, fearing that its disclosure will lead to selling by transient investors. Eventually, accumulated bad news is released all at once, causing a crash.