The Role of Dissemination in Market Liquidity: Evidence from Firms' Use of Twitter™

Accounting Review - Tập 89 Số 1 - Trang 79-112 - 2014
Elizabeth Blankespoor1, Gregory S. Miller2, Hal D. White2
1Stanford University
2UNIVERSITY OF MICHIGAN

Tóm tắt

ABSTRACT Firm disclosures often reach only a portion of investors, which results in information asymmetry among investors and, therefore, lower market liquidity. This issue is particularly salient for firms that are not highly visible, as they tend not to receive broad news dissemination via traditional intermediaries, such as the press. This paper examines whether firms can reduce information asymmetry by more broadly disseminating their news. To isolate the impact of dissemination, we focus our analysis on firms' use of Twitter and exploit the 140-character message restriction. Specifically, using a sample of technology firms, we examine the impact of using Twitter to send market participants links to press releases that are provided via traditional disclosure methods. We find this additional dissemination of firm-initiated news via Twitter is associated with lower abnormal bid-ask spreads and greater abnormal depths, consistent with a reduction in information asymmetry. Moreover, this result holds mainly for firms that are not highly visible, consistent with them being in greater need of this additional dissemination channel. We also examine the impact of dissemination on a volume-based measure of liquidity, and find that dissemination is positively associated with liquidity. Data Availability: All data are publicly available from the sources indicated in the paper.

Từ khóa


Tài liệu tham khảo

Akins, 2012, Investor competition and the pricing of information asymmetry, The Accounting Review, 87, 35, 10.2308/accr-10157

Amihud, 1997, Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange, Journal of Financial Economics, 45, 365, 10.1016/S0304-405X(97)00021-4

Antweiler, 2004, Is all that talk just noise? The information content of stock message boards, The Journal of Finance, 59, 1259, 10.1111/j.1540-6261.2004.00662.x

Ashbaugh, 1999, Corporate reporting on the Internet, Accounting Horizons, 13, 241, 10.2308/acch.1999.13.3.241

Barber, 2009, Do retail trades move markets?, The Review of Financial Studies, 22, 151, 10.1093/rfs/hhn035

Belsley, D. A., E. Kuh, and R. E. Welsch. 1980. Regression Diagnostics: Identifying Influential Data and Sources of Collinearity. New York, NY: John Wiley & Sons.

Berger, 2007, Segment profitability and the proprietary and agency costs of disclosure, The Accounting Review, 82, 869, 10.2308/accr.2007.82.4.869

Beyer, 2010, The financial reporting environment: Review of the recent literature, Journal of Accounting and Economics, 50, 296, 10.1016/j.jacceco.2010.10.003

Botosan, 1997, Disclosure level and the cost of equity capital, The Accounting Review, 72, 323

Bushee, 2010, The role of the business press as an information intermediary, Journal of Accounting Research, 48, 1, 10.1111/j.1475-679X.2009.00357.x

Bushee, 2003, Open versus closed conference calls: The determinants and effects of broadening access to disclosure, Journal of Accounting and Economics, 34, 149, 10.1016/S0165-4101(02)00073-3

Bushee, 2004, Managerial and investor responses to disclosure regulation: The case of Reg FD and conference calls, The Accounting Review, 79, 617, 10.2308/accr.2004.79.3.617

Bushee, 2012, Investor relations, firm visibility, and investor following, The Accounting Review, 87, 867, 10.2308/accr-10211

Bushee, 2000, Corporate disclosure practices, institutional investors, and stock return volatility, Journal of Accounting Research, 38, 171, 10.2307/2672914

Campbell, 2009, Caught on tape: Institutional trading, stock returns, and earnings announcements, Journal of Financial Economics, 92, 66, 10.1016/j.jfineco.2008.03.006

Cohen, K. J., S. F. Maier, R. A. Schwartz, and D. K. Whitcomb. 1986. The Microstructure of Securities Markets. Englewood Cliffs, NJ: Prentice Hall.

Cooper, 1985, Liquidity, exchange listing and common stock performance, Journal of Economics and Business, 37, 19, 10.1016/0148-6195(85)90003-7

Da, 2011, In search of attention, Journal of Finance, 66, 1461, 10.1111/j.1540-6261.2011.01679.x

Diamond, 1991, Disclosure, liquidity, and the cost of capital, The Journal of Finance, 46, 1325, 10.1111/j.1540-6261.1991.tb04620.x

Drake, 2012, Investor information demand: Evidence from Google searches around earnings announcements, Journal of Accounting Research, 50, 1001, 10.1111/j.1475-679X.2012.00443.x

Ettredge, 2002, Dissemination of information for investors at corporate web sites, Journal of Accounting and Public Policy, 21, 357, 10.1016/S0278-4254(02)00066-2

Field, 2005, Does disclosure deter or trigger litigation?, Journal of Accounting and Economics, 39, 487, 10.1016/j.jacceco.2005.04.004

Glosten, 1988, Estimating the components of the bid/ask spread, Journal of Financial Economics, 21, 123, 10.1016/0304-405X(88)90034-7

Glosten, 1985, Bid, ask and transaction prices in a specialist market with heterogeneously informed traders, Journal of Financial Economics, 14, 71, 10.1016/0304-405X(85)90044-3

Grossman, 1980, On the impossibility of informationally efficient markets, American Economic Review, 70, 393

Harris, L. 1990. Liquidity, Trading Rules and Electronic Trading Systems. New York University Monograph Series in Finance and Economics. Monograph No. 1990-4. New York, NY: New York University.

Harris, 1998, The association between competition and managers' business segment reporting decisions, Journal of Accounting Research, 36, 111, 10.2307/2491323

Hayes, 1996, Segment reporting to the capital market in the presence of a competitor, Journal of Accounting Research, 34, 261, 10.2307/2491502

Healy, 1999, Stock performance and intermediation changes surrounding sustained increases in disclosure, Contemporary Accounting Research, 16, 485, 10.1111/j.1911-3846.1999.tb00592.x

Hirshleifer, 2003, Limited attention, information disclosure, and financial reporting, Journal of Accounting and Economics, 36, 337, 10.1016/j.jacceco.2003.10.002

Hogan, 2011, Bull, bear, and bird? Social media comes to investor relations, ABA Banking Journal

Hong, 1999, A unified theory of underreaction, momentum trading, and overreaction in asset markets, Journal of Finance, 54, 2143, 10.1111/0022-1082.00184

Hutton, 2003, The role of supplementary statements with management earnings forecasts, Journal of Accounting Research, 41, 886, 10.1046/j.1475-679X.2003.00126.x

Kasznik, 1995, To warn or not to warn: Management disclosure in the face of an earnings surprise, The Accounting Review, 70, 113

Kavajecz, 1999, The specialist's quoted depth and the limit order book, Journal of Finance, 52, 747, 10.1111/0022-1082.00124

Kim, 1994, Market liquidity and volume around earnings announcements, Journal of Accounting and Economics, 17, 41, 10.1016/0165-4101(94)90004-3

Kyle, 1985, Continuous auctions and insider trading, Econometrica, 53, 1315, 10.2307/1913210

Lang, 1996, Corporate disclosure policy and analyst behavior, The Accounting Review, 71, 467

Lee, 1993, Spreads, depths, and the impact of earnings information: An intraday analysis, The Review of Financial Studies, 6, 345, 10.1093/rfs/6.2.345

Lee, 2000, Inferring investor behavior: Evidence from TORQ data, Journal of Financial Markets, 3, 83, 10.1016/S1386-4181(00)00002-1

Lee, 1991, Inferring trade direction from intraday data, Journal of Finance, 46, 733, 10.1111/j.1540-6261.1991.tb02683.x

Lehavy, 2008, Investor recognition and stock returns, Review of Accounting Studies, 13, 327, 10.1007/s11142-007-9063-y

Lerman, A. 2011. Individual Investors' Attention to Accounting Information: Message Board Discussions. Working paper, New York University.

Leuz, 2000, The economic consequences of increased disclosure, Journal of Accounting Research, 38, 91, 10.2307/2672910

Leuz, C., and P. Wysocki. 2008. Economic Consequences of Financial Reporting and Disclosure Regulation: A Review and Suggestions for Future Research. Working paper, The University of Chicago and University of Miami.

Merton, 1987, A simple model of capital market equilibrium with incomplete information, Journal of Finance, 42, 483, 10.1111/j.1540-6261.1987.tb04565.x

Miller, 2002, Earnings performance and discretionary disclosure, Journal of Accounting Research, 40, 173, 10.1111/1475-679X.00043

Miller, 2006, The press as a watchdog for accounting fraud, Journal of Accounting Research, 44, 1001, 10.1111/j.1475-679X.2006.00224.x

Motley, 2011, An individual disclosure decision, IR Update (March, 7

Piotroski, 2003, Discussion of the impact of SFAS No. 131 on information and monitoring, Journal of Accounting Research, 41, 225, 10.1111/1475-679X.00101

Q4 Web Systems, 2009, Public Companies and Their Use of Twitter for Investor Relations. An Analysis of Corporate Reporting Using Social Media

Schrand, 2000, Strategic benchmarks in earnings announcements: The selective disclosure of prior-period earnings components, The Accounting Review, 75, 151, 10.2308/accr.2000.75.2.151

Securities and Exchange Commission (SEC). 2008. Commission Guidance on the Use of Company Websites. Release No. 34-58288. Washington, DC: SEC.

Skinner, 1994, Why firms voluntarily disclose bad news, Journal of Accounting Research, 32, 38, 10.2307/2491386

Van Buskirk, 2012, Disclosure frequency and information asymmetry, Review of Quantitative Finance and Accounting, 38, 411, 10.1007/s11156-011-0237-0

Van Ness, 2001, How well do adverse selection components measure adverse selection?, Financial Management, 30, 77, 10.2307/3666377

Wysocki, P. 1998. Cheap Talk on the Web: The Determinants of Postings on Stock Message Boards. Working paper, University of Michigan.

Thông tin
Thông tin xuất bản

Accounting Review

Tập 89 Số 1

79-112

Thông tin tác giả