Institutional Investors, Earnings Quality and Asset Liquidity： Evidence from China＇s Stock Market  

作　　者：Dongmin Kong Shasha Liu Ting Lu 

机构地区：[1]Department of Finance,School of Economics,Huazhong University of Science andTechnology,Wuhan 430074,China [2]Department of Finance,Guanghua School of Management,Peking University,Beijing 100871,China [3]Research Department,The People's Bank of China,Beijing 100800,China

出　　处：《Frontiers of Business Research in China》2012年第3期398-417,共20页中国高等学校学术文摘·工商管理研究（英文版）

基　　金：Acknowledgements We gratefully acknowledge the financial support from the National Natural Science Foundation of China （No. 71173078, 70803013）.

摘　　要：This paper investigates how institutional holding and earnings quality influence the liquidity of assets. Contrary to findings in developed markets, we document several novel results in China＇s stock market： （1） institutional holding negatively affects assets＇ liquidity, （2） earnings quality is negatively related with liquidity. Since earnings quality captures asymmetric information, low earnings quality induces high divergence in investor opinions and thus boosts market trading, and （3） interestingly, the effect of earnings quality on liquidity is greater if institutional investors＇ holding is at a high level. Overall, our findings cast doubt on the conventional wisdom that institutional investors and earnings quality improve market liquidity. The results are robust to different measures and alternative model specifications.This paper investigates how institutional holding and earnings quality influence the liquidity of assets. Contrary to findings in developed markets, we document several novel results in China＇s stock market： （1） institutional holding negatively affects assets＇ liquidity, （2） earnings quality is negatively related with liquidity. Since earnings quality captures asymmetric information, low earnings quality induces high divergence in investor opinions and thus boosts market trading, and （3） interestingly, the effect of earnings quality on liquidity is greater if institutional investors＇ holding is at a high level. Overall, our findings cast doubt on the conventional wisdom that institutional investors and earnings quality improve market liquidity. The results are robust to different measures and alternative model specifications.

关 键 词：institutional holding earnings quality LIQUIDITY China＇s stockmarket emerging stock market 

分 类 号：F275[经济管理—企业管理] U695.22[经济管理—国民经济]