Econ Papers Daily / 期刊论文
外生股票流动性改善与自愿性信息披露
Exogenous stock liquidity improvements and voluntary disclosure
摘要
We study whether exogenous improvements in stock liquidity, unrelated to the information environment, affect managers’ disclosure choices. We exploit the 1997 Nasdaq reforms, which exogenously improved stock liquidity by reducing the non-information asymmetry components of the bid-ask spread, and find that Nasdaq firms reduced voluntary disclosure relative to a control group of unaffected firms. This evidence is consistent with managers substituting between components of the bid-ask spread when forming disclosure choices. Specifically, as the non-information asymmetry components decline, managers respond by decreasing disclosure, which in turn raises the information asymmetry component. Despite the reduction in disclosure and corresponding increase in information asymmetry, total stock liquidity nevertheless improves, suggesting that maintaining prior disclosure levels would have yielded minimal marginal benefits.
中文摘要
我们研究股票流动性的外生改善（与信息环境无关）是否会影响管理者的披露选择。我们利用1997年纳斯达克改革，该改革通过降低买卖价差中的非信息不对称成分，外生地提升了股票流动性，并发现相对于未受影响的对照组公司，纳斯达克公司在自愿披露方面有所减少。这一证据与管理者在形成披露选择时在买卖价差各成分之间进行替代的假设相一致。具体而言，随着非信息不对称成分的下降，管理者通过减少披露来应对，这反过来又提高了信息不对称成分。尽管披露减少且信息不对称相应增加，但总体股票流动性仍然改善，这表明维持原有披露水平所带来的边际收益可能微乎其微。