The effect of voluntary disclosure on stock liquidity: New evidence from index funds

• 成果类型: Article
• 署名作者: Schoenfeld, Jordan
• 署名单位: Utah System of Higher Education; University of Utah
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/j.jacceco.2016.10.007
• 发表日期: 2017
• 关键词: MANAGEMENT EARNINGS FORECASTS; corporate governance; cross-section; institutional investors; s-and-p-500 index; economic consequences; information asymmetry; market liquidity; revisions; POLICY

摘要

This study tests whether voluntary disclosure affects stock liquidity. I argue that index funds fit the profile of nonstrategic traders who, according to theory, are unambiguously more likely than managers and strategic investors to prefer high stock liquidity and thus high disclosure. This suggests that I can use index funds' disclosure preferences to construct an empirical model of voluntary disclosure that abstracts away from managers' strategic disclosure motives. Accordingly, I use an index-fund setting to construct a recursive structural equation model of voluntary disclosure, index fund ownership, and liquidity. I find that when a firm joins the S&P 500 index, voluntary disclosure increases with the level of ownership assumed by index funds, and this increase in disclosure is associated with increased stock liquidity. These results imply that voluntary disclosure increases stock liquidity.