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

Journal of Accounting and Economics - Tập 63 - Trang 51-74 - 2017
Jordan Schoenfeld1
1University of Utah, Eccles School of Business, 1655 Campus Center Drive, Salt Lake City, UT 84112, United States

Tài liệu tham khảo

Adams, 2007, A Theory of Friendly Boards, J. Financ., 62, 217, 10.1111/j.1540-6261.2007.01206.x Amihud, 2002, Illiquidity and stock returns: cross-section and time-series effects, J. Financ. Mark., 5, 31, 10.1016/S1386-4181(01)00024-6 Appel, 2016, Passive investors, not passive owners, J. Financ. Econ., 121, 111, 10.1016/j.jfineco.2016.03.003 Armstrong, 2014, Do independent directors cause improvements in firm transparency?, J. Financ. Econ., 113, 383, 10.1016/j.jfineco.2014.05.009 Armstrong, 2010, The role of information and financial reporting in corporate governance and debt contracting, J. Account. Econ., 50, 179, 10.1016/j.jacceco.2010.10.001 Baginski, 1990, The market interpretation of management earnings forecasts as a predictor of subsequent financial analyst forecast revision, Account. Rev., 65, 175 Balakrishnan, 2014, Shaping liquidity: on the causal effects of disclosure and liquidity, J. Financ., 69, 2237, 10.1111/jofi.12180 Bebchuk, 2009, What matters in corporate governance?, Rev. Financ. Stud., 22, 783, 10.1093/rfs/hhn099 Beneish, 1996, An anatomy of the “S&P game”: the effects of changing the rules, J. Financ., 51, 1909 Bertrand, 2004, How much should we trust differences-in-differences estimates?, Q. J. Econ., 119, 249, 10.1162/003355304772839588 Beyer, 2010, The financial reporting environment: review of the recent literature, J. Account. Econ., 50, 296, 10.1016/j.jacceco.2010.10.003 Bharath, 2013, Exit as governance: an empirical analysis, J. Financ, 68, 2515, 10.1111/jofi.12073 Bhattacharya, 2012, Direct and mediated associations among earnings quality, information asymmetry, and the cost of equity, Account. Rev., 87, 449, 10.2308/accr-10200 Bhushan, 1989, Firm characteristics and analyst following, J. Account. Econ., 11, 255, 10.1016/0165-4101(89)90008-6 Bird, A., Karolyi, S., 2016. Do Institutional Investors Demand Public Disclosure? Rev. Financ. Stud., Forthcoming. BlackRock Inc., 2014a. Global corporate governance & engagement principles. 〈http://www.blackrock.com/corporate/en-us/literature/fact-sheet/blk-responsible-investment-1engprinciples-global-122011.pdf〉(accessed 16.08.15). BlackRock Inc., 2014b. The mechanics of an ETF structure. 〈http://us.ishares.com/content/en_us/repository/resource/innovative_mechanism.pdf〉(accessed 16.08.15). BlackRock Inc., 2016. Guidelines, reports and position papers. 〈https://www.blackrock.com/corporate/en-br/about-us/investment-stewardship/voting-guidelines-reports-position-papers〉(accessed 16.08.15). Boehmer, 2009, Institutional investors and the informational efficiency of prices, Rev. Financ. Stud., 22, 3563, 10.1093/rfs/hhp028 Boehmer, 2013, Short selling and the price discovery process, Rev. Financ. Stud., 26, 287, 10.1093/rfs/hhs097 Boone, 2015, The effect of institutional ownership on firm transparency and information production, J. Financ. Econ., 117, 508, 10.1016/j.jfineco.2015.05.008 Booraem, G., 2013. Passive Investors, Not Passive Owners. 〈https://corpgov.law.harvard.edu/2013/05/10/passive-investors-not-passive-owners/ (accessed 16.08.15). Brav, 2008, Hedge fund activism, corporate governance, and firm performance, J. Financ., 63, 1729, 10.1111/j.1540-6261.2008.01373.x Brickley, 2010, Corporate governance myths: comments on armstrong, guay, and weber, J. Account. Econ., 50, 235, 10.1016/j.jacceco.2010.10.002 Bushee, 2010, The role of the business press as an information intermediary, J. Account. Res., 48, 1, 10.1111/j.1475-679X.2009.00357.x Bushee, 2000, Corporate disclosure practices, institutional investors, and stock return volatility, J. Account. Res., 38, 171, 10.2307/2672914 Bushman, 1995, Voluntary disclosures and the trading behavior of corporate insiders, J. Account. Res., 33, 293, 10.2307/2491489 Bushman, 2004, What determines corporate transparency?, J. Account. Res., 42, 207, 10.1111/j.1475-679X.2004.00136.x Carhart, 1997, On persistence in mutual fund performance, J. Financ., 52, 57, 10.1111/j.1540-6261.1997.tb03808.x Carter, 1999, The relevance of form 8-K reports, J. Account. Res., 37, 119, 10.2307/2491399 Chen, 2004, The price response to S&P 500 index additions and deletions: evidence of asymmetry and a new explanation, J. Financ., 59, 1901, 10.1111/j.1540-6261.2004.00683.x Chen, X., Cheng, Q., Luo, T., Yue, H., 2015. Short sellers and corporate disclosures. Work. Paper. Cheng, 2004, Identifying control motives in managerial ownership: evidence from antitakeover legislation, Rev. Financ. Stud., 18, 637, 10.1093/rfs/hhh010 Chordia, 2000, Commonality in liquidity, J. Financ. Econ., 56, 3, 10.1016/S0304-405X(99)00057-4 Claessens, 2002, Disentangling the incentive and entrenchment effects of large shareholdings, J. Financ., 57, 2741, 10.1111/1540-6261.00511 Cohen, 2008, The small world of investing: board connections and mutual fund returns, J. Polit. Econ., 116, 951, 10.1086/592415 Core, 2015, Mandatory disclosure quality, inside ownership, and cost of capital, Eur. Account. Rev., 24, 1, 10.1080/09638180.2014.985691 Core, 1999, Corporate governance, chief executive officer compensation, and firm performance, J. Financ. Econ., 51, 371, 10.1016/S0304-405X(98)00058-0 Crane, 2016, The effect of institutional ownership on payout policy: evidence from index thresholds, Rev. Financ. Stud., 29, 1377, 10.1093/rfs/hhw012 Denis, 2003, S&P 500 index additions and earnings expectations, J. Financ., 58, 1821, 10.1111/1540-6261.00589 Diamond, 1991, Disclosure, liquidity, and the cost of capital, J. Financ., 46, 1325, 10.1111/j.1540-6261.1991.tb04620.x Dye, 1995, Industry-wide disclosure dynamics, J. Account. Res., 33, 157, 10.2307/2491297 Elton, 2004, Are investors rational? Choices among Index Funds, J. Financ., 59, 261, 10.1111/j.1540-6261.2004.00633.x Fama, 2010, Luck versus skill in the cross-section of mutual fund returns, J. Financ., 65, 1915, 10.1111/j.1540-6261.2010.01598.x Fang, 2009, Stock market liquidity and firm value, J. Financ. Econ., 94, 150, 10.1016/j.jfineco.2008.08.007 Fidelity Management and Research LLC, 2016. Corporate Governance and Proxy Guidelines. 〈https://www.fidelity.com/about-fidelity/fidelity-by-numbers/fmr/proxy-guidelines〉(accessed 16.08.15). Fink, L., 2015. Text of letter sent to Chairmen/CEOs asking them to focus on delivering long-term value. 〈http://www.blackrock.com/corporate/en-at/literature/publication/long-term-value-letter-041415.pdf〉(accessed 16.08.15). Frazzini, 2008, Dumb money: mutual fund flows and the cross-section of stock returns, J. Financ. Econ., 88, 299, 10.1016/j.jfineco.2007.07.001 Gillian, 2000, Corporate governance proposals and shareholder activism: the role of institutional investors, J. Financ. Econ., 57, 275, 10.1016/S0304-405X(00)00058-1 Glass Lewis, 2016a. Glass Lewis Engagement Procedures. 〈http://www.glasslewis.com/engagement-policy/〉(accessed 16.08.15). Glass Lewis, 2016b. Proxy Research. 〈http://www.glasslewis.com/proxy-research-3/ (accessed 16.08.15). Goyenko, 2009, Do liquidity measures measure liquidity?, J. Financ. Econ., 92, 153, 10.1016/j.jfineco.2008.06.002 Graham, 2005, The economic implications of corporate financial reporting, J. Account. Econ., 40, 3, 10.1016/j.jacceco.2005.01.002 Greene, 2002, Econometric Analysis Healy, 2001, Information asymmetry, corporate disclosure, and the capital markets: a review of the empirical disclosure literature, J. Account. Econ., 31, 405, 10.1016/S0165-4101(01)00018-0 Hegde, 2003, The liquidity effects of revisions to the S&P 500 index: an empirical analysis, J. Financ. Mark., 6, 413, 10.1016/S1386-4181(02)00046-0 Holden, 2014, Liquidity measurement problems in fast, competitive markets: expensive and cheap solutions, J. Financ., 69, 1747, 10.1111/jofi.12127 Holmström, 1993, Market liquidity and performance monitoring, J. Polit. Econ., 101, 678, 10.1086/261893 Hong, 2005, Thy neighbor's portfolio: word-of-mouth effects in the holdings and trades of money managers, J. Financ., 60, 2801, 10.1111/j.1540-6261.2005.00817.x Hope, 2003, Accounting policy disclosures and analysts' forecasts, Contemp. Account. Res., 20, 295, 10.1506/LA87-D1NF-BF06-FW1B Institutional Shareholder Services, 2016. ISS Governance. 〈https://www.issgovernance.com/ (accessed 16.08.15). Jennings, 1987, Unsystematic security price movements, management earnings forecasts, and revisions in consensus analyst earnings forecasts, J. Account. Res., 25, 90, 10.2307/2491260 Joos, 2000, Discussion of the economic consequences of increased disclosure, J. Account. Res., 38, 125, 10.2307/2672911 Kim, 1994, Market liquidity and volume around earnings announcements, J. Account. Econ., 17, 41, 10.1016/0165-4101(94)90004-3 Kothari, 2009, Do managers withhold bad news?, J. Account. Res., 47, 241, 10.1111/j.1475-679X.2008.00318.x Krull, 2001, Multilevel modeling of individual and group level mediated effects, Multivar. Behav. Res., 36, 249, 10.1207/S15327906MBR3602_06 Lang, 1993, Cross-sectional determinants of analyst ratings of corporate disclosures, J. Account. Res., 31, 246, 10.2307/2491273 Lang, 1996, Corporate disclosure policy and analyst behavior, Account. Rev., 71, 467 Lerman, 2009, The new Form 8-K disclosures, Rev. Account. Stud., 15, 752, 10.1007/s11142-009-9114-7 Leuz, 2000, The economic consequences of increased disclosure, J. Account. Res., 38, 91, 10.2307/2672910 Leuz, 2016, The economics of disclosure and financial reporting regulation: evidence and suggestions for future research, J. Account. Res., 54, 525, 10.1111/1475-679X.12115 Li, 2015, Short selling pressure, stock price behavior, and management forecast precision: evidence from a natural experiment, J. Account. Res., 53, 79, 10.1111/1475-679X.12068 Lys, 1990, The association between revisions of financial analysts' earnings forecasts and security-price changes, J. Account. Econ., 13, 341, 10.1016/0165-4101(90)90009-S MacKinnon, 2007, Mediation Analysis, Annu. Rev. Psychol., 58, 593, 10.1146/annurev.psych.58.110405.085542 Madhavan, 2015, Exchange-traded funds: an overview of institutions, trading, and impacts, Annu. Rev. Financ. Econ., 6, 311, 10.1146/annurev-financial-110613-034316 Matvos, 2010, Heterogeneity and peer effects in mutual fund proxy voting, J. Financ. Econ., 98, 90, 10.1016/j.jfineco.2010.03.014 Mayew, 2015, MD&A disclosure and the firm's ability to continue as a going concern, Account. Rev., 90, 1621, 10.2308/accr-50983 McCahery, J., Sautner, Z., Starks, L., 2016. Behind the Scenes: The Corporate Governance Preferences of Institutional Investors. J. Financ., http://onlinelibrary.wiley.com/doi/10.1111/jofi.12393/full. Miller, 2002, Earnings performance and discretionary disclosure, J. Account. Res., 40, 173, 10.1111/1475-679X.00043 Morck, R., Yang, F., 2001. The Mysterious Growing Value of S&P 500 Membership. NBER Work. Paper Ser. Mullins, W., 2015. The Governance Impact of Indexing: Evidence from Regression Discontinuity. Work. Paper. Nagar, 1999, The role of the manager's human capital in discretionary disclosure, J. Account. Res., 37, 167, 10.2307/2491351 Nagar, 2003, Discretionary disclosure and stock-based incentives, J. Account. Econ., 34, 283, 10.1016/S0165-4101(02)00075-7 Nagel, 2005, Short sales, institutional investors and the cross-section of stock returns, J. Financ. Econ., 78, 277, 10.1016/j.jfineco.2004.08.008 O'Brien, 1990, Analyst following and institutional ownership, J. Account. Res., 28, 55, 10.2307/2491247 Preacher, 2008, Asymptotic and resampling strategies for assessing and comparing indirect effects in multiple mediator models, Behav. Res. Methods, 40, 879, 10.3758/BRM.40.3.879 Shroff, 2013, Voluntary disclosure and information asymmetry: evidence from the 2005 securities offering reform, J. Account. Res., 51, 1299, 10.1111/1475-679X.12022 Skinner, 1994, Why firms voluntarily disclose bad news, J. Account. Res., 32, 38, 10.2307/2491386 Skinner, 1997, Earnings disclosures and stockholder lawsuits, J. Account. Econ., 23, 249, 10.1016/S0165-4101(97)00010-4 Sobel, 1987, Direct and indirect effects in linear structural equation models, Sociol. Method. Res., 16, 155, 10.1177/0049124187016001006 Taylor, 2015, Delegated trade and the pricing of public and private information, J. Account. Econ., 60, 8, 10.1016/j.jacceco.2015.07.002 The Vanguard Group, Inc., 2016. Our governance and executive compensation principles. 〈https://about.vanguard.com/vanguard-proxy-voting/corporate-governance/〉(accessed 16.08.15). Verrecchia, 1983, Discretionary disclosure, J. Account. Econ., 5, 179, 10.1016/0165-4101(83)90011-3 Waymire, 1986, Additional evidence on the accuracy of analyst forecasts before and after voluntary management earnings forecasts, Account. Rev., 61, 129 Wurgler, J., 2011. On the Economic Consequences of Index-Linked Investing. NBER Work. Paper Ser.