Shaping Liquidity: On the Causal Effects of Voluntary Disclosure

• 成果类型: Article
• 署名作者: Balakrishnan, Karthik; Billings, Mary Brooke; Kelly, Bryan; Ljungqvist, Alexander
• 署名单位: University of London; London Business School; New York University; University of Chicago; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12180
• 发表日期: 2014
• 页码: 2237-2278
• 关键词: Information asymmetry; instrumental variables; CORPORATE DISCLOSURE; social value; LEVEL; cost; TRANSPARENCY; CONSEQUENCES; illiquidity; management

摘要

Can managers influence the liquidity of their firms' shares? We use plausibly exogenous variation in the supply of public information to show that firms actively shape their information environments by voluntarily disclosing more information than regulations mandate and that such efforts improve liquidity. Firms respond to an exogenous loss of public information by providing more timely and informative earnings guidance. Responses appear motivated by a desire to reduce information asymmetries between retail and institutional investors. Liquidity improves as a result and in turn increases firm value. This suggests that managers can causally influence their cost of capital via voluntary disclosure.