Publication Type
Journal Article
Version
acceptedVersion
Publication Date
10-2015
Abstract
This study examines whether state-level economic conditions affect the liquidity of local firms. We find that liquidity levels of local stocks are higher (lower) when the local economy has performed well (poorly). This relation is stronger when local financing constraints are more binding, the local information environment is more opaque, and local institutional ownership levels and trading intensity are higher. Overall the evidence supports the notion that the geographical segmentation of U.S. capital markets generates predictable patterns in local liquidity.
Keywords
Market segmentation, liquidity, local bias, local business cycles, capital constraints, institutional investors, return predictability
Discipline
Corporate Finance | Finance and Financial Management
Research Areas
Finance
Publication
Journal of Financial and Quantitative Analysis
Volume
50
Issue
5
First Page
987
Last Page
1010
ISSN
0022-1090
Identifier
10.1017/S0022109015000447
Publisher
Cambridge University Press
Citation
BERNILE, Gennaro; Korniotis, George; Kumar, Alok; and WANG, Qin.
Local Business Cycles and Local Liquidity. (2015). Journal of Financial and Quantitative Analysis. 50, (5), 987-1010.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/3666
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1017/S0022109015000447