Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5107434 | Research in International Business and Finance | 2017 | 33 Pages |
Abstract
This paper investigates the impact of risk sentiment on market liquidity by using panel data. We use six risk word lists; uncertain, weak model, negative, legal, opportunity, and environmental & social responsibility word lists to measure the risk sentiment. Concerning the liquidity proxies, we use three measures, quoted spread, effective spread, and adverse selection component. The results indicate that an intensive risk tone and uncertain information in annual reports lead to decreased liquidity. In addition we find that risk sentiment variable impacts the liquidity but not vice versa.
Related Topics
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Business and International Management
Authors
Ousayna Zreik, Waƫl Louhichi,