Earnings News and Over-the-Counter Markets

• 成果类型: Article
• 署名作者: Huber, Stefan j.; Kim, Chongho; Watts, Edward m.
• 署名单位: Rice University; Seoul National University (SNU); Yale University
• 刊物名称: JOURNAL OF ACCOUNTING RESEARCH
• ISSN/ISSBN: 0021-8456
• DOI: 10.1111/1475-679X.12522
• 发表日期: 2024
• 页码: 701-735
• 关键词: corporate bond market; information-content; trading costs; UPSTAIRS MARKET; announcements; liquidity; price; TRANSPARENCY; search; intermediation

摘要

We document significant increases in bond market liquidity around earnings announcements. These increases are attributed to decreased search and bargaining costs, which arise from the over-the-counter (OTC) nature of bond markets and outweigh increases in information asymmetry during these periods. Our evidence traces reductions in search and bargaining costs to two sources around earnings announcements: (1) improved access to dealers and (2) increased participation from institutional investors, who can more easily transact with multiple dealers. Overall, our findings highlight a novel channel through which firm-specific information affects asset prices.