The effect of exogenous information on voluntary disclosure and market quality

• 成果类型: Article
• 署名作者: Frenkel, Sivan; Guttman, Ilan; Kremer, Ilan
• 署名单位: Tel Aviv University; New York University; Hebrew University of Jerusalem; Hebrew University of Jerusalem; University of Warwick
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.04.018
• 发表日期: 2020
• 页码: 176-192
• 关键词: Information disclosure; voluntary disclosure; Price efficiency; liquidity; analysts

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.