The Effect of Algorithmic Trading on Management Guidance

• 成果类型: Article
• 署名作者: Stephan, Andrew
• 署名单位: University of Colorado System; University of Colorado Boulder
• 刊物名称: ACCOUNTING REVIEW
• ISSN/ISSBN: 0001-4826
• DOI: 10.2308/TAR-2022-0080
• 发表日期: 2024
• 页码: 421-449
• 关键词: STOCK-PRICE BEHAVIOR; voluntary disclosure; earnings; INFORMATION; MARKET; liquidity; forecasts; dissemination; DISCOVERY; FIRMS

摘要

I investigate whether algorithmic trading (AT) affects the provision of management guidance. Existing research finds that AT decreases fundamental information acquisition before earnings announcements and consequently reduces the informativeness of prices. To compensate for reduced information acquisition, I predict and find that managers at firms with more AT activity increase the quantity and quality of guidance issued at earnings announcements. Evidence is consistent with managers responding to reduced information acquisition, as opposed to changes in liquidity, and results suggest guidance in response to AT is effective at reducing information asymmetry. These findings identify a new channel through which AT affects stock price informativeness by documenting a link to managers' disclosure decisions.