Information Asymmetry Around Earnings Announcements

This study examines bid-ask spreads to determine how the anticipation and release of earnings announcements affect information asymmetry in the stock market. I use regression analysis and find that bid-ask spreads are negatively related to public information availability and positively related to earnings variability and the market reaction to prior unexpected earnings. The results suggest that firms for which earnings is expected to yield a relatively larger stock market reaction have greater information asymmetry than firms for which earnings are expected to yield a smaller market reaction.I also find that bid-ask spreads gradually increase in the four days prior to earnings announcements, and increase sharply the day prior to, the day of and the day after the earnings announcements. Bid-ask spreads seven to ten days after earnings announcements are not significantly different from bid-ask spreads seven to ten days prior to earnings announcements.     

公司债券市场信息不对称和政府作用

分析公司债券市场信息不对称的后果和处理方式的特点,以及政府在减少公司债券市场信息不对称方面应该发挥的作用.指出我国政府对公司债券的利率管制和强制担保要求等不当干预加重了公司债券市场的信息不对称,阻碍了市场的健康发展.建议取消政府在公司债券市场上的不当干预、将公司债券的主要投资者定位于机构投资者、完善金融市场基础设施建设.     

Trading Volume, Information Asymmetry, and Timing Information

This paper investigates trading volume before scheduled and unscheduled corporate announcements to explore how traders respond to private information. I show that cumulative trading volume decreases inversely to information asymmetry prior to scheduled announcements, while the opposite relation holds for volume after the announcement. In contrast, trading volume before unscheduled announcements increases dramatically and shows little relation to proxies for information asymmetry. I investigate the behavior of market makers and find that they act appropriately by increasing price sensitivity before all announcements, implying that they extract timing information from their order books.     

Institutional Investment Horizons and the Cost of Equity Capital

We examine the influence of institutional investors’ investment horizons on a firm's cost of equity. We argue that the cost of equity will decrease in the presence of institutional investors with longer‐term investment horizons due to improved monitoring and information quality. Our empirical results demonstrate that the cost of equity declines in the presence of institutional investors with long‐term investment horizons, all else remaining equal. Our results indicate also that the monitoring role of long‐term institutional investors is more pronounced for firms with higher agency problems (poorly governed firms). Overall, our evidence suggests that when considering the influence of institutional investors, it is critical to account for institutional heterogeneity, which leads to new directions for future research.     

Information Asymmetry and the Dealer's Bid-Ask Spread: A Case Study of Earnings and Dividend Announcements

Recent theoretical work on the bid-ask spread asserts that the dealer should widen the bid-ask spread when he or she suspects that the information advantage possessed by informed traders has increased. Thus, the dealer's spread can be employed to test for an increase in information asymmetry prior to an anticipated information event. In this paper, the method is applied to earnings and dividend announcements, which have been documented to be information events. The authors study three groups of announcements: (a) joint announcements—i.e., earnings and dividend announcements that are made on the same day, (b) initial (first) announcements—earnings or dividend announcements that were not preceded by another announcement in the prior thirty days, and (c) following (second) announcements—those announcements that follow the first announcement by at least ten days but by no more than thirty days. The authors find a strong increase in information asymmetry only before the second announcements and virtually no increase before the joint and first announcements. This is consistent with the hypothesis that there is, on average, normal information asymmetry before announcements, but that the dealer will suspect a nonroutine announcement (with an attendant increase in information asymmetry) when the second announcement is separated from the first by more than ten days. Other possible explanations for the results are discussed, and suggestions for future research are outlined.     

Relation Between Predisclosure Information Asymmetry and Trading Volume Reaction Around Quarterly Earnings Announcements

This study investigates the effects of differences in predisclosure information asymmetry on trading volume reaction during quarterly earnings announcements. The analyses show that trading volume reaction to quarterly earnings announcements is positively related to the level of predisclosure information asymmetry and to the magnitude of the price reaction to the announcements. These results are consistent with Kim and Verrecchia's (1991a) theoretical trading volume proposition, and with Atiase and Bamber's (1994) tests of the proposition based on annual earnings announcements. This study also provides evidence on the relation of predisclosure information asymmetry and trading volume before and after quarterly earnings announcements.     

Venture Capitalists,Unquoted Equity Investment Appraisal and the Role of Accounting Information

This paper aims to add to the understanding of venture capitalists' investment decision-making behaviour by providing evidence relating to the general policies they adopt in their approaches to due diligence, valuation methods, benchmark rates of return and adjustments for risk. The evidence shows that in order to address potential adverse selection problems, venture capitalists use a wide range of accounting and non-accounting information and techniques relating to the specific factors concerning a particular investment. Unpublished accounting information and subjective information are important. Significant differences emerge in the approaches to valuation and use of accounting information for valuation purposes between types of venture capitalist, according both to their stage of investment focus and whether they were captive or independent.     

Information Asymmetry and Corporate Liquidity Management: Evidence from Real Estate Investment Trusts

We examine the impact of information asymmetry on a firm??s choice between cash and credit lines for corporate liquidity management using a panel data set from real estate investment trusts (REITs). Information asymmetry, as measured by analyst forecast error and dispersion, is negatively related to the use of lines of credit. Specifically, firms with more severe information asymmetry are less likely to have access to bank credit lines. Concurrently, more transparent firms are more likely to utilize bank credit lines as opposed to cash for liquidity management. The results are robust to alternative information asymmetry proxies and specifications. These findings suggest that information asymmetry plays an important role in corporate liquidity management.     

交叉上市、信息不对称与风险特征

本文以"A+H"交叉上市公司价格差异为研究对象,对A股、H股股票价格之间差异及其变化进行研究。根据对36家A+H股上市公司近期9个月溢价水平的分析发现,信息不对称理论能够解释AH股溢价扩大的现象,投资者与公司之间信息不对称问题得到缓解的趋势不明显,反而有所强化;国有股特征导致AH溢价缩小,海外投资者对国有股份的认同度提升;流动性理论、不同风险偏好理论不能解释AH溢价变化,数据分析支持信息不对称理论、风险特征理论和需求理论。     

Public Predisclosure Information, Firm Size, Analyst Following, and Market Reactions to Earnings Announcements

Abstract:   This study examines the effects of public predisclosure information on market reactions to earnings announcements. We develop an empirical measure of public predisclosure information impounded in price prior to earnings announcements by cumulating abnormal returns on public news release dates during the quarter. Consistent with prior literature, we document a negative association between this measure and market reactions to subsequent earnings announcements. Moreover, we find that after controlling for this measure, firm size and analyst following are significantly positively associated with market reactions to earnings announcements. Contrary to prior empirical evidence, our results suggest that, after controlling for actual predisclosure information impounded in price, market reactions to earnings announcements are greater in magnitude for larger, more widely-followed firms than for smaller, less widely-followed firms.     

Earnings Predictability, Information Asymmetry, and Market Liquidity

We investigate the relation between earnings predictability, information asymmetry and the behavior of the adverse selection cost component of the bid-ask spread around quarterly earnings announcements for NASDAQ firms. While we find an increase in the adverse selection component of the bid-ask spread on the day of and the day prior to quarterly earnings announcements for firms with less predictable earnings, we find no evidence of such changes for firms with more predictable earnings. During a non-announcement period, we find that firms with relatively less predictable earnings have consistently higher total bid-ask spreads than firms with more predictable earnings. This finding suggests that firms with relatively less predictable earnings have a higher cost of equity capital than comparable firms with more predictable earning streams, ceteris paribus. Hence, earnings predictability may be a legitimate concern of managers who wish to minimize their cost of equity capital at least as it pertains to bid-ask spreads.     

次贷危机、信息不对称和指数交易

次贷危机源于房价上涨停滞后的次贷及其衍生品市场的快速萎缩,信息不对称在危机爆发前风险累积阶段和危机后市场过度反应阶段都是关键因素.次贷及其衍生产品设计繁复且对房价系统性下跌高度敏感,次贷的衍生产品多在场外市场交易使得危机前相关信息未被充分披露.随着指数交易的陆续推出,如基于次债的ABX.HE指数和CME的房地产价格指数期货期权合约,使房价、次贷及其衍生产品的概括性信息得以揭示,基于信息不对称因素的恐慌加重了危机程度.综上,本文针对衍生品设计和市场的完善提出了建议.     

会计稳健性、信息不对称与股权融资成本

本文以沪深股市2006—2015年非金融行业上市公司为初始样本,结合我国的产权性质,考察了会计稳健性与股权融资成本的关系,并采用中介效应分析方法,探讨了会计稳健性对股权融资成本的可能影响路径。研究发现:第一,会计稳健性与股权融资成本负相关,信息不对称水平是会计稳健性影响股权融资成本的一个中介变量。第二,相对于国有企业,非国有企业会计稳健性对股权融资成本的降低作用更加显著。     

Information Asymmetry and Bidders' Gains

Abstract:  Undervalued firms with high information asymmetry may announce takeover bids to attract the attention of investors with a view to increasing the share price through revaluation. Announcement period returns to such bidders should include both revaluation and synergy gains although the revaluation gains should be confined to early bids and decline with the number of bids announced within a reasonable period. Our results offer strong support to these predictions. Undervalued firms with high pre-bid information asymmetry gain the most from early bids and the gains decline with the number of bids announced. These findings are robust to methods of payment, relative size of deals, target status, relatedness of businesses, domicile of target, M&A activities and alternative measures of information asymmetry, and confirm that gains from early bids include revaluation as well as synergy gains, especially in the cases of undervalued firms with high information asymmetry.     

Information Asymmetry, R&D, and Insider Gains

Although researchers have documented gains from insider trading, the sources of private information leading to information asymmetry and insider gains have not been comprehensively investigated. We focus on research and development (R&D)—an increasingly important yet poorly disclosed productive input—as a potential source of insider gains. Our findings, for the period from 1985 to 1997 indicate that insider gains in R&D-intensive firms are substantially larger than insider gains in firms without R&D. Insiders also take advantage of information on planned changes in R&D budgets. R&D is thus a major contributor to information asymmetry and insider gains, raising issues concerning management compensation, incentives, and disclosure policies.     

Derivatives Use, Information Asymmetry, and MNC Post-Acquisition Performance

We utilize a sample of US acquiring firms that engaged in international M&As to document the effects of corporate derivatives use on post-M&A long-term performance. We find that derivatives users outperform nonusers. Furthermore, we find that acquirers with derivative policies that are more comprehensive and sophisticated outperform those with less comprehensive and sophisticated policies. They, in turn, outperform acquirers with no existing policies in place. Our results are consistent with the notion that the use of derivatives lowers information asymmetry related agency problems. Furthermore, our evidence indicates that derivatives use is an important corporate activity that has a profound effect on post-M&A performance.     

信息不对称与金融市场脆弱性

在金融市场中,信息起着至关重要的作用.作为金融市场中普遍存在的现象,信息不对称是导致金融市场脆弱性的主要原因之一.本文对金融市场中的信息不对称现象进行了详细的分析,同时提出了相应的解决措施.     

信息不对称、公司治理与现金持有价值——基于知情交易概率的非平稳面板数据

本文为了研究中国上市公司信息不对称、公司治理和现金持有价值之间的关系,以沪深上市公司2004-2009年数据为基础,利用知情交易概率作为管理者和投资者之间的信息不对称代理变量,以高管持股比例作为公司治理代理变量,利用公司各种财务指标作为控制变量,发现信息不对称与中国上市公司现金持有价值呈显著负相关,高管持股比例和现金持有价值显著正相关,支持自由现金流理论和委托代理理论,信息不对称程度越高,管理者越可能滥用现金,导致现金持有价值下降,而提高公司治理,加强投资者保护可以提高现金持有价值。     

Predictable Investment Horizons and Wealth Transfers among Mutual Fund Shareholders

This study analyzes the distribution of investment horizons in a large, proprietary panel of all shareholders in one no‐load mutual fund family. A proportional hazards model shows that there are observable shareholder characteristics that enable the fund to predict reliably on the day each account is opened whether the account will be short term or long term. Simulations show that the liquidity costs imposed on the fund by the expected short‐term shareholders are significantly greater than those imposed by the expected long‐term shareholders. Combining these results, the analysis argues that mutual funds do not provide equitable liquidity‐risk insurance.