Does stock liquidity shape voluntary disclosure? Evidence from the SEC tick size pilot program

• 成果类型: Article
• 署名作者: Hope, Ole-Kristian; Liu, Junhao
• 署名单位: University of Toronto; BI Norwegian Business School
• 刊物名称: REVIEW OF ACCOUNTING STUDIES
• ISSN/ISSBN: 1380-6653
• DOI: 10.1007/s11142-022-09686-0
• 发表日期: 2023
• 页码: 2233-2270
• 关键词: CONFERENCE CALLS; investor attention; MARKET; management; prices; ask; TRANSPARENCY

摘要

Employing the SEC Tick Size Pilot Program, which increases the minimum trading unit of a set of randomly selected small-capitalization stocks, we examine whether and how an exogenous change in stock liquidity affects corporate voluntary disclosure. Using difference-in-differences analyses with firm fixed effects, we find that treatment firms respond to the liquidity decline by issuing fewer management earnings forecasts, while, in contrast, control firms do not exhibit a significant change. Next we show that the effect is more pronounced when firms experience more severe liquidity decreases during the TSPP and rule out a set of alternative explanations. Further strengthening the identification, we find a consistent reversal effect after the end of the pilot program. To generalize our findings, we use voluntary 8-K filings and conference calls as alternative voluntary disclosure proxies and find similar effects. Overall, these findings show how an exogenous change in stock liquidity shapes the corporate information environment.