Stock Liquidity and Company Annual Reports. How Does Publishing the Annual Report Affect Stock Liquidity?
DOI:
https://doi.org/10.15611/fins.2025.2.01Keywords:
management reports, stock liquidity, event-based method, Wilcoxon test, quantile regressionAbstract
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.
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Copyright (c) 2025 Tohid Zeinali, Jan Makary Fryczak
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
Accepted 2025-10-23
Published 2025-12-09
