This paper investigates the effect of investor protection on the value impact of stock liquidity. Using a sample of firms from 41 countries for the period between 1996 and 2010, we show that investor protection is positively associated with the value impact of stock liquidity. This association...

Investors have preferences for local companies, as well as companies in connected cities. We develop a novel approach to exploit the geographic connections of investor watched stocks to identify latent city-to-city connections that influence geographic investment preferences in China. We find...

Suppose the value of a firm is endogenously determined by a manager's costly effort. We call this manager a distinguished player if he also can trade shares of the firm on a market. Arbitrage-free asset pricing theory suggests that the equilibrium market price reflects the value increasing...

Many commentators have suggested that companies pay top executives with deferred compensation, a type of incentive known as inside debt. Recent SEC disclosure reforms greatly increased the transparency of deferred compensation. We investigate stockholder and bondholder reactions to companies’...

Using theories from the behavioral finance literature to predict that investors are attracted to industries with more salient outcomes and that therefore firms in such industries have higher valuations, we find that firms in industries that have high industry-level dispersion of profitability...

I extend the sequential trade model of market-making developed by Glosten and Milgrom (1985) to a highly stylized form and obtain the following theoretical predictions. First, a stock with a lower firm-value variation is more liquid, i.e., is traded with a narrower bid-ask spread. Second,...

We evaluate the effects of management ownership and other corporate governance variables on Hong Kong firms' stock performance following the onset of the Asian Financial Crisis (1997-98), a period during which corporate governance structures to protect the interests of outside shareholders are...

Using data from 2002 to 2013, we examine the impact of algorithmic trading on firm value. The results show that algorithmic trading generates net benefits for firm value through impacting stock liquidity, idiosyncratic volatility, and idiosyncratic skewness, and firms benefit more from...

We find that the presence of independent directors who are blockholders (IDBs) in firms promotes better CEO contracting and monitoring, and higher firm valuation. Using a panel of about 11,500 firm-years with a unique, hand-collected dataset on IDB-identity and a novel instrument, we find that...