We document the negative effect of stock liquidity on default risk for a sample of 46 countries. We further find that default risk declines following the introduction of the Directive on Markets in Financial Instruments (MiFID)—an exogenous shock that increases liquidity. The effect of liquidity on default risk is more pronounced in countries with poorer investor protection and information environments. Further, this effect is attenuated (strengthened) for firms with greater information efficiency (governance monitoring). Overall, our findings highlight the important role of regulatory settings in shaping the impact of stock liquidity on default risk in international markets.

我们以 46 个国家的样本记录了股票流动性对违约风险的负面影响。我们进一步发现，在引入金融工具市场指令 (MiFID) 后违约风险下降——这是一种增加流动性的外生冲击。在投资者保护和信息环境较差的国家，流动性对违约风险的影响更为明显。此外，对于具有更高信息效率（治理监控）的公司，这种影响会减弱（加强）。总体而言，我们的研究结果强调了监管环境在塑造股票流动性对国际市场违约风险的影响方面的重要作用。