Corporate investment, short-term return reversal, and stock liquidity

Moonsoo Kang (), S. Khaksari and Kiseok Nam

Journal of Financial Markets, 2018, vol. 39, issue C, 68-83

Abstract: This study establishes a link between corporate investment and short-term return reversal by addressing the role of corporate investment in shaping stock liquidity. We find that short-term return reversal is less pronounced for stocks with high corporate investment. Moreover, the analysis shows that corporate investment indeed attenuates the short-term return reversal effect regardless of other control variables. We argue that the current finding is attributable to the effect of corporate investment on the risk of a stock through which corporate investment improves stock liquidity and eventually leads to weaker short-term return reversal.

Keywords: Corporate investment; Short-term reversal; Stock liquidity (search for similar items in EconPapers)
JEL-codes: G14 G31 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finmar:v:39:y:2018:i:c:p:68-83

DOI: 10.1016/j.finmar.2018.02.001

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