Block Ownership, Trading Activity, and Market Liquidity

被引：65

作者：

Brockman, Paul ^{[1
]}

Chung, Dennis Y. ^{[2
]}

Yan, Xuemin ^{[3
]}

机构：

[1] Lehigh Univ, Coll Business & Econ, Bethlehem, PA 18015 USA

[2] Simon Fraser Univ, Fac Business Adm, Burnaby, BC V5A 1S6, Canada

[3] Univ Missouri Columbia, Trulaske Coll Business, Columbia, MO 65211 USA

来源：

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 2009年 / 44卷 / 06期

关键词：

INSTITUTIONAL INVESTORS; EXECUTION COSTS; STOCK RETURNS; ASK; COMPONENTS; SIZE; ILLIQUIDITY; INFORMATION; EARNINGS; TRADES;

D O I：

10.1017/S0022109009990378

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine the impact of block ownership oil the firm's trading activity and secondary-market liquidity. Our empirical results show that block ownership takes potential trading activity off the table relative to a diffuse ownership structure and impairs the firm's market liquidity. These adverse liquidity effects disappear, however, once we control for trading activity. Our findings suggest that block ownership is detrimental to the firm's market liquidity because of its adverse impact on trading activity-a real friction effect. After controlling for this real friction effect, we find little evidence that block ownership has a negative impact on informational friction. Our results Suggest that the relative lack of trading, and not the threat of informed trading, explains the inverse relation between block ownership and market liquidity.

引用

页码：1403 / 1426

页数：24

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