Title:

Stock Liquidity and Company Annual Reports. How Does Publishing the Annual Report Affect Stock Liquidity?

Group publication title:

Financial Sciences. Nauki o Finansach

Title in english:

Nauki o Finansach

Creator:

Zeinali, Tohid ; Fryczak, Jan Makary

Subject and Keywords:

management reports ; stock liquidity ; event-based method ; Wilcoxon tests ; quantile regression

Description:

Financial Sciences. Nauki o Finansach, 2025, vol. 30, no. 2, s. 1-13

Abstrakt:

Aim: This study examines how management reports affect stock liquidity and compares the responses of stocks with low, medium, and high liquidity. Methodology: Stocks were classified into three liquidity groups based on the median Amihud (ILLIQ) ratio. The Wilcoxon test and the Mann-Whitney U test were used to verify the result. Lastly, quantile regression was used to show the role of initial liquidity levels, especially in higher quantiles. Findings: The main findings show that management reports generally affect stock liquidity, but stocks with lower liquidity display a stronger reaction. This means that new disclosures, especially for companies that already have weaker liquidity, can create larger market fluctuations. Implications: These results are significant for investors and market regulators because they can use the insights to better manage risk and make more informed decisions. From a managerial perspective, understanding how liquidity responds to disclosures can help companies refine their communication strategies. Researchers can also apply this event-based approach to study how other types of reports or market conditions influence liquidity. Originality/value: Focusing on management reports and their impact on liquidity in a less-studied market and using both nonparametric tests and quantile regression make this research unique, helping to understand how stocks with low liquidity may show more changes after management disclosures.

Publisher:

Publishing House of Wroclaw University of Economics and Business

Place of publication:

Wroclaw

Date:

2025

Resource Type:

artykuł

Resource Identifier:

doi:10.15611/fins.2025.1.03

Language:

eng

Relation:

Financial Sciences. Nauki o Finansach, 2025, vol. 30, no. 2

Rights:

Pewne prawa zastrzeżone na rzecz Autorów i Wydawcy

Access Rights:

Dla wszystkich zgodnie z licencją

License:

CC BY-SA 4.0

Location:

Uniwersytet Ekonomiczny we Wrocławiu