Stock Liquidity and Investment Opportunities: Evidence from Index Additions
利用指数加入带来的外生流动性冲击，发现股票流动性上升会促进企业增加资本支出，因为流动性降低资本成本，扩大了可行投资机会的集合。
We examine the relation between stock liquidity and investment opportunities in a sample of firms experiencing an exogenous liquidity shock. We find a positive relation between changes in capital expenditures and changes in stock liquidity, indicating that stock liquidity influences corporate investment decisions. This relation is robust to alternative measures of growth opportunities, and is consistent with a liquidity premium in equity returns. That is, an increase in liquidity effectively expands the set of positive NPV projects because it reduces the cost of capital. The results suggest that liquidity-enhancing events benefit shareholders by increasing the pool of viable growth opportunities.