Muni Disclosure: All talk and no trade?

• 成果类型: Article
• 署名作者: Cuny, Christine; Li, Ken; Nakhmurina, Anya; Watts, Edward M.
• 署名单位: New York University; McMaster University; Yale University
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/j.jacceco.2025.101797
• 发表日期: 2025
• 关键词: ANNUAL EARNINGS ANNOUNCEMENTS; information-content; PRICE BEHAVIOR; bond liquidity; book value; association; volume; valuation; equity; cost

摘要

This paper examines which municipal disclosures provide informational value to investors. Using the entire universe of post-issuance financial and event disclosures from 2009 to 2022, we find that most municipal bonds do not trade in the weeks following a disclosure. However, some disclosures do provide enough new information to increase trading. Investors trade more on credit-relevant disclosures, such as adverse credit event disclosures, and less on required annual financial statements. Trading after disclosures also increases more when a bond is large or risky. Moreover, we find that credit rating agencies respond to disclosures, lending support to the idea that some disclosures have informational value. In further analyses, we find that trading before the disclosure, lack of timeliness, illiquidity, and information processing constraints contribute to the limited trading on the average disclosure. The findings suggest that reconsidering a one-size-fits-all approach to regulating post-issuance municipal disclosures may be worthwhile.