IDEAS home Printed from https://ideas.repec.org/a/taf/apeclt/v31y2024i10p940-947.html
   My bibliography  Save this article

The effect of corporate investment on market frictions: implication for the stock price delay premium

Author

Listed:
  • Moonsoo Kang

Abstract

We demonstrate the effect of corporate investment on market frictions by exploring the stock liquidity channel. Using the stock price delay premium as a proxy for market frictions, we find that higher corporate investment leads to lower premium for stocks whose price responds slowly to information. Moreover, this cross-sectional phenomenon is more pronounced during the low sentiment/liquidity period, which experiences lack of liquidity. We obtain qualitatively the same results in a battery of robustness checks. Overall, this study suggests that corporate investment alleviates market frictions by altering stock liquidity.

Suggested Citation

  • Moonsoo Kang, 2024. "The effect of corporate investment on market frictions: implication for the stock price delay premium," Applied Economics Letters, Taylor & Francis Journals, vol. 31(10), pages 940-947, June.
    • Handle: RePEc:taf:apeclt:v:31:y:2024:i:10:p:940-947
    DOI: 10.1080/13504851.2022.2156466
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/13504851.2022.2156466
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/13504851.2022.2156466?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:31:y:2024:i:10:p:940-947. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEL20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.