The effect of exogenous information on voluntary disclosure and market quality

被引：26

作者：

Frenkel, Sivan ^{[1
]}

Guttman, Ilan ^{[2
]}

Kremer, Ilan ^{[3
,4
,5
]}

机构：

[1] Tel Aviv Univ, Coller Sch Management, POB 39040, IL-6997801 Tel Aviv, Israel

[2] NYU, Stern Sch Business, New York, NY 10003 USA

[3] Hebrew Univ Jerusalem, Dept Econ, Sch Business Adm, Jerusalem, Israel

[4] Hebrew Univ Jerusalem, Federmann Ctr Study Rat, Jerusalem, Israel

[5] Univ Warwick, Dept Econ, Coventry, W Midlands, England

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2020年 / 138卷 / 01期

基金：

以色列科学基金会;

关键词：

Information disclosure; Voluntary disclosure; Price efficiency; Liquidity; Analysts; GOOD-NEWS; ACQUISITION; LIQUIDITY;

D O I：

10.1016/j.jfineco.2020.04.018

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We analyze a model in which information may be voluntarily disclosed by a firm and/or by a third party, e.g., financial analysts. Due to its strategic nature, corporate voluntary disclosure is qualitatively different from third-party disclosure. Greater analyst coverage crowds out (crowds in) corporate voluntary disclosure when analysts mostly discover information that is available (unavailable) to the firm. Nevertheless, greater analyst coverage always improves the overall quality of public information. We base this claim on two market quality measures: price efficiency, which is statistical in nature, and liquidity, which is derived in a trading stage that follows the disclosure stage. (C) 2020 Elsevier B.V. All rights reserved.

引用

页码：176 / 192

页数：17

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