Disclosure and liquidity

Mónica Espinosa and Marco Trombetta

DEE - Working Papers. Business Economics. WB from Universidad Carlos III de Madrid. Departamento de Economía de la Empresa

Abstract: The purpose of this paper is to test empirically the relationship between two important concepts: disclosure and liquidity. Using a sample of Spanish quoted firms between 1994 and 2000 we show that the estimation of the relationship between disclosure and liquidity depends crucially on two factors: a) the multidimensionality of the concept of liquidity; b) the use of an econometric methodology that deals properly with the features of the sample used. However the use of the Amihud (2002) illiquidity measure provides evidence in favour of a positive relationship between disclosure and liquidity.

Date: 2005-01
New Economics Papers: this item is included in nep-acc and nep-fin
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wbrepe:wb050202

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