Disclosure Policy,Information Asymmetry,and Liquidity in Equity Markets*

Abstract. This study investigates the relation between disclosure policy and liquidity in equity markets. Disclosure policy influences market liquidity because uninformed investors “price protect” against adverse selection, and this price protection is manifested in market liquidity. Bid-ask spreads, the empirical measure of market liquidity used in this study, are predicted to be inversely related to disclosure policy. In addition, increased trading by informed traders and higher probability of information event occurrence are predicted to both increase spreads and intensify the relation between spreads and disclosure policy. These predictions apply during periods in which no news about the firm is disclosed or pending. The results show that relative bid-ask spreads for firms with disclosure rankings in the bottom third of the empirical distribution are approximately 50 percent higher than spreads for firms with disclosure rankings in the top third of the empirical distribution. Tests that assume endogenous disclosure policy reveal a significant negative relation between disclosure policy and spreads, even after controlling for the effects of return volatility, trading volume, and share price. Tests for cross-sectional variation in spreads and for the sensitivity of spreads to disclosure policy based on informed trade activity and probability of information event occurrence are generally consistent with the predictions, though these results are not statistically significant. The findings of this study are consistent with the notion that a well-regarded disclosure policy reduces information asymmetry and hence increases liquidity in equity markets. Résumé. L'auteur analyse la relation entre la politique d'information et la liquidité des marchés d'actions. La politique d'information influe sur la liquidité du marché, étant donné que les investisseurs non informés se protègent contre les choix préjudiciables en ce qui a trait aux cours, comportement de protection qui se manifeste dans la liquidité du marché. Les écarts entre les cours acheteur et vendeur, la mesure empirique de la liquidité du marché utilisée dans la présente étude, devraient présenter, selon les prévisions, une relation inverse avec la politique d'information. De plus, l'intensification de l'activité des négociateurs informés et la probabilité accrue de l'occurrence d'un événement d'information devraient, selon les prévisions, augmenter tous les deux les écarts et consolider la relation entre les écarts et la politique d'information. Ces prévisions s'appliquent aux cours des périodes dans lesquelles aucune information nouvelle au sujet de l'entreprise n'est publiée ou n'est sur le point de l'être. Les résultats démontrent que les écarts relatifs entre cours acheteur et vendeur des entreprises dont la publication d'information les place dans le tiers inférieur de la distribution empirique sont d'environ 50 pour cent supérieurs aux écarts des entreprises dont la publication d'information les place dans le tiers supérieur de la distribution empirique. Les tests qui supposent une politique d'information endogène révèlent une relation négative significative entre la politique d'information et les écarts, même après avoir contrôlé les conséquences de la volatilité du rendement, le volume des opérations et le cours de l'action. Les tests relatifs à la variation transversale des écarts et de la sensibilité des écarts à la politique d'information, basée sur l'activité de négociation informée et la probabilité d'occurrence d'un événement d'information, sont généralement conformes aux prévisions, bien que les résultats n'en soient pas statistiquement significatifs. Les conclusions de l'étude confirment le principe selon lequel une politique d'information bien pensée réduit l'asymétrie de l'information et, par conséquent, augmente la liquidité des marchés d'actions.     

信息、政策冲击和中国股票、债券及外汇市场一体化——基于AG-DCC模型的金融市场动态相关性分析

本文运用Cappiello et al．（2006）提出的AG—DCC模型对中国金融市场的研究发现,中国股票、债券和外汇市场间存在明显的动态相关性 ,虽然“正向冲击”和“负向冲击”对金融市场波动并不产生明显的非对称效应,但对市场间动态相关性有着显著的影响,而且信息和政策冲击反映在动态相关性的结构变化上。最后,用平均动态相关性作为一体化指标对中国金融市场的考察发现,相对于欧盟市场间,中国股票市场一体化程度相当高,但股票和债券、股票和外汇以及债券和外汇市场间的一体化程度有待提高。     

Prostitutes,Pimps, and Brothels: Intermediaries,Information, and Market Structure in Prostitution Markets

Prostitution is a multi‐billion dollar, globally distributed, low‐concentration service industry that is receiving increasing attention in the economics literature. This article focuses on a widespread, but little studied, feature of this environment—the role of intermediaries (pimps or brothel owners) on market outcomes. Prostitution laws and markets are perhaps unique in that transactions between principals (prostitutes and johns) are legal in many countries, while intermediary activity (pimping) is illegal. After surveying the varying cross‐country legality of agents we develop a simple theoretical model to analyze how the presence or absence of intermediaries shifts the distribution of market surplus. We show that eliminating pimps and brothels may shift surplus in non‐obvious ways, depending on the precise function they perform and on whether equilibrium is pooling or separating across “high quality” and “low quality” market segments. The implications of alternative policy regimes (intermediaries legal or illegal) are considered.     

证券市场信息披露制度的健全与规范

本文从信息不对称在资本市场上形成的逆向选择和道德风险问题出发，指出信息缺失造成的市场缺陷，探讨了资本市场上信息搜集的成本问题；分析了自愿性信息披露也有助于降低上市公司资本成本，提出了规范我国证券市场信息披露制度的几点看法。     

全球主要石油市场间的信息溢出效应分析

本文选取了全球主要的石油市场组合,以均值、方差、分位数为代理变量,运用Granger因果检验方法研究了市场的信息溢出效应。在过滤掉了均值因果关系后,着重分析了不同市场组合的波动溢出效应,判断了市场间的信息流向。在波动溢出分析的基础上,又进一步检验了极端上涨和极端下跌时的风险溢出关系,提出了非对称风险溢出的概念,并将其应用于石油市场。实证结果表明信息大多从信息效率高的市场流向信息效率低的市场,上涨侧的信息传递速度比下跌侧更高,强风险溢出证据是普遍的。对波动溢出与风险溢出的比较表明,风险溢出继承了波动溢出的大多数特征,表明方差Granger因果关系的存在是风险溢出的主要原因,二者的差异表明高阶矩存在的因果关系也可以导致风险溢出。     

Entry in Foreign Markets under Asymmetric Information and Demand Uncertainty

This paper examines the mode of entry of a multinational firm that has less information about the host market stochastic demand than the local firm. The foreign firm can enter the market either through direct investment or exports. Each entry mode entails different costs and has different informational implications. Entry through foreign direct investment (FDI) is favored by greater variability in demand. Interestingly enough, strategic behavior by the incumbent firm, which deviates from its first period monopoly output, might be aimed at increasing the probability of foreign entry through FDI despite having to compete against an equally informed and efficient entrant; this never happens in a symmetric information environment. Such host firm behavior is aimed at reducing the strategic uncertainty derived from the foreign firm's beliefs. Compared with the symmetric information setting, entry via direct investment may occur in more cases.     

中国资本市场信息供求系统解析

信息是资本市场的“轴心”和“生命”，资本市场是信息最重要、信息最集中、信息最不对称、信息时效性最强、信息价值体现最充分的市场，可以说，现代资本市场也是一种“信息市场”。要实现资本市场的有效运行，就必须研究信息的供求机制和运行系统。本文分别探讨了资本市场信息的供给、需求和流通问题，并在此基础上形成了资本市场信息运行系统的轮廓。     

Faux Predation in Markets with Imperfect Information on Product Quality

When consumers and producers are asymmetrically informed about product quality, faux predation is shown to be a profitable method of inducing a rival firm to exit. A successful episode of faux predation persuades an efficient rival to exit without requiring the faux predator to price below cost and recoup losses with higher prices in the future. Cost-based rules for establishing presumptive evidence of predatory intent and behavior—such as the Areeda–Turner rule—will fail to detect faux predation since pricing below unit costs is not necessary. Faux predation can damage competition yet go undetected and undeterred under present antitrust law.     

Gambling,Prediction Markets and Public Policy

The recent worldwide increase in gambling and prediction markets, including casinos, sports betting, lotteries, elections, and wagering on financial instruments has stimulated an important debate regarding the public policy implications of these activities. Some critical research questions concern the efficiency of such markets, heterogeneity in risk attitudes among agents engaged in these activities, the factors that influence performance in gambling, and the desirability of using prediction markets. This special issue provides empirical evidence on these issues.     

R&D Subsidies,Spillovers, and Privatization in Mixed Markets

We examine the use of subsidies to research and development (R&D) in a mixed and a private duopoly market. We show that the socially optimal R&D subsidy is increasing in the degree of spillovers, but it is lower in the private duopoly. The optimal R&D subsidy leads to an increase in total R&D and production; however, it does not lead to the equalization of per firm output and therefore to an efficient distribution of production costs. We also find that privatization of the public firm reduces R&D activity and welfare in the duopoly market. This result stands even when optimal R&D subsidies are provided.     

Ethics,Welfare, and Markets: An Economic Analysis

The present article examines society's welfare when goods with identical physical attributes can be produced using two alternative technologies, one of them less ethically desirable but less expensive for at least some producers. For the scenario where identification costs must be borne by producers and consumers of the high‐quality good, the outcome under unregulated markets is identical to the optimal solution of a central planner constrained to neither ban the undesirable technology nor segregate the low‐quality good. However, under certain circumstances the unregulated market equilibrium may be improved upon by government intervention that shifts the burden of identification costs to the producers of the low‐quality good, or which bans the production of the low‐quality good. The optimal intervention needs to be determined case‐by‐case and depends on consumer preferences, relative production costs, and relative costs of identification and fraud prevention.     

Margin,Short Selling,and Lotteries in Experimental Asset Markets

The robustness of bubbles and crashes in markets for assets with finite lives is perplexing. This paper reports the results of experimental asset markets in which participants trade two assets. In some markets, price bubbles form. In these markets, traders pay higher prices for the asset with lottery characteristics (i.e., a claim on a large, unlikely payoff). However, institutional design has a significant impact on deviations in prices from fundamental values, particularly for an asset with lottery characteristics. Price run-ups and crashes are moderated when traders finance purchases of the assets themselves and are allowed to short sell.