Asymmetric effects of voluntary disclosure on stock liquidity: evidence from 8-K filings

被引：12
作者：
Cho, Hyunkwon [1 ]
Kim, Robert [2 ]
机构：
[1] Sejong Univ, Seoul, South Korea
[2] Univ Massachusetts, Boston, MA 02125 USA
来源：
ACCOUNTING AND FINANCE | 2021年 / 61卷 / 01期
关键词：
8-K filings; Disclosure tone; Stock liquidity; Textual analysis; Voluntary disclosure; CROSS-SECTION; INVESTOR SENTIMENT; TEXTUAL ANALYSIS; INFORMATION; NEWS; EARNINGS; COST; DETERMINANTS; MANAGEMENT; ANALYSTS;
D O I：
10.1111/acfi.12594
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper examines whether the change in stock liquidity subsequent to voluntary disclosure is different between good news and bad news. Using voluntary 8-K filings, we find that the increase in stock liquidity is more pronounced for firms with good news disclosure than for firms with bad news disclosure. In addition, such findings are stronger when a firm is less visible and when the short-selling costs are high, suggesting that these two factors play an important role in increasing stock liquidity. Overall, this paper provides evidence that the tone of voluntary 8-K news is an important determinant of stock liquidity.
引用
收藏
页码：803 / 846
页数：44
相关论文
共 56 条
[1]   The effect of bidder conservatism on M&A decisions: Text-based evidence from US 10-K filings [J].
Ahmed, Yousry ;
Elshandidy, Tamer .
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2016, 46 :176-190
[2]   Illiquidity and stock returns: cross-section and time-series effects [J].
Amihud, Y .
JOURNAL OF FINANCIAL MARKETS, 2002, 5 (01) :31-56
[3]   Firm performance, reporting goals, and language choices in narrative disclosures [J].
Asay, H. Scott ;
Libby, Robert ;
Rennekamp, Kristina .
JOURNAL OF ACCOUNTING & ECONOMICS, 2018, 65 (2-3) :380-398
[4]   Market liquidity as a sentiment indicator [J].
Baker, M ;
Stein, JC .
JOURNAL OF FINANCIAL MARKETS, 2004, 7 (03) :271-299
[5]   Investor sentiment in the stock market [J].
Baker, Malcolm ;
Wurgler, Jeffrey .
JOURNAL OF ECONOMIC PERSPECTIVES, 2007, 21 (02) :129-151
[6]   Investor sentiment and the cross-section of stock returns [J].
Baker, Malcolm ;
Wurgler, Jeffrey .
JOURNAL OF FINANCE, 2006, 61 (04) :1645-1680
[7]   Shaping Liquidity: On the Causal Effects of Voluntary Disclosure [J].
Balakrishnan, Karthik ;
Billings, Mary Brooke ;
Kelly, Bryan ;
Ljungqvist, Alexander .
JOURNAL OF FINANCE, 2014, 69 (05) :2237-2278
[8]   Audited financial reporting and voluntary disclosure as complements: A test of the Confirmation Hypothesis [J].
Ball, Ray ;
Jayaraman, Sudarshan ;
Shivakumar, Lakshmanan .
JOURNAL OF ACCOUNTING & ECONOMICS, 2012, 53 (1-2) :136-166
[9]   Do Managers Disclose or Withhold Bad News? Evidence from Short Interest [J].
Bao, Dichu ;
Kim, Yongtae ;
Mian, G. Mujtaba ;
Su, Lixin .
ACCOUNTING REVIEW, 2019, 94 (03) :1-26
[10]   All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors [J].
Barber, Brad M. ;
Odean, Terrance .
REVIEW OF FINANCIAL STUDIES, 2008, 21 (02) :785-818
123456