管理情绪、宏观经济不确定性和股票流动性：来自印度的证据

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2025-06-26 DOI:10.1016/j.frl.2025.107864

Asis Kumar Sahu , Byomakesh Debata , Saumya Ranjan Dash

{"title":"管理情绪、宏观经济不确定性和股票流动性：来自印度的证据","authors":"Asis Kumar Sahu , Byomakesh Debata , Saumya Ranjan Dash","doi":"10.1016/j.frl.2025.107864","DOIUrl":null,"url":null,"abstract":"<div><div>This study examines how managerial sentiment shapes the relationship between macroeconomic uncertainty and stock liquidity. Using a FinBERT-based large language model to assess sentiment from management discussion and analysis (MD&A) disclosures and a customized macroeconomic uncertainty index for India, we find that increased uncertainty significantly reduces stock liquidity. Optimistic managerial sentiment alleviates this adverse effect, particularly in firms with higher information asymmetry. The results are robust to the endogeneity test, propensity score matching, and alternative sentiment and uncertainty measures. This study advances macroeconomic uncertainty research by being the first to explore how managerial sentiment moderates its deterrent effects on stock liquidity.</div></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":"85 ","pages":"Article 107864"},"PeriodicalIF":7.4000,"publicationDate":"2025-06-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Managerial sentiment, macroeconomic uncertainty, and stock liquidity: Evidence from India\",\"authors\":\"Asis Kumar Sahu , Byomakesh Debata , Saumya Ranjan Dash\",\"doi\":\"10.1016/j.frl.2025.107864\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><div>This study examines how managerial sentiment shapes the relationship between macroeconomic uncertainty and stock liquidity. Using a FinBERT-based large language model to assess sentiment from management discussion and analysis (MD&A) disclosures and a customized macroeconomic uncertainty index for India, we find that increased uncertainty significantly reduces stock liquidity. Optimistic managerial sentiment alleviates this adverse effect, particularly in firms with higher information asymmetry. The results are robust to the endogeneity test, propensity score matching, and alternative sentiment and uncertainty measures. This study advances macroeconomic uncertainty research by being the first to explore how managerial sentiment moderates its deterrent effects on stock liquidity.</div></div>\",\"PeriodicalId\":12167,\"journal\":{\"name\":\"Finance Research Letters\",\"volume\":\"85 \",\"pages\":\"Article 107864\"},\"PeriodicalIF\":7.4000,\"publicationDate\":\"2025-06-26\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Finance Research Letters\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S1544612325011225\",\"RegionNum\":2,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Finance Research Letters","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1544612325011225","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 0

摘要

本研究探讨管理情绪如何塑造宏观经济不确定性与股票流动性之间的关系。使用基于finbert的大型语言模型来评估管理层讨论和分析（MD& a）披露和定制的印度宏观经济不确定性指数的情绪，我们发现不确定性的增加显着降低了股票流动性。乐观的管理情绪缓解了这种不利影响，特别是在信息不对称程度较高的企业中。结果是稳健的内生性检验，倾向得分匹配，替代情绪和不确定性措施。本研究通过首次探索管理情绪如何调节其对股票流动性的威慑作用，推进了宏观经济不确定性研究。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Managerial sentiment, macroeconomic uncertainty, and stock liquidity: Evidence from India

This study examines how managerial sentiment shapes the relationship between macroeconomic uncertainty and stock liquidity. Using a FinBERT-based large language model to assess sentiment from management discussion and analysis (MD&A) disclosures and a customized macroeconomic uncertainty index for India, we find that increased uncertainty significantly reduces stock liquidity. Optimistic managerial sentiment alleviates this adverse effect, particularly in firms with higher information asymmetry. The results are robust to the endogeneity test, propensity score matching, and alternative sentiment and uncertainty measures. This study advances macroeconomic uncertainty research by being the first to explore how managerial sentiment moderates its deterrent effects on stock liquidity.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance