Journal of Accounting and Economics, Volume 63, Issue 1, February 2017, Pages 51–74

自愿披露对股票流动性的影响：来自指数型基金的新证据

作者：Jordan Schoenfeld (Eccles School of Business, University of Utah)

摘要：本研究检验了自愿披露对股票流动性的影响。本文认为指数型基金很好的满足了财务投资者的投资需求，并且有关理论表明，财务投资者比管理者和战略投资者更倾向于高的股票流动性和高水平的信息披露。因此，我可以利用指数型基金对公司信息披露的偏好构建一个能将自愿披露和管理者的战略信息披露分离开的实证模型。于是，文章利用指数型基金的成分股数据构建了一个关于自愿披露、指数型基金持股比例和流动性的递归型结构方程模型。由此发现：对于S&P500公司，自愿披露水平随着指数型基金持股比例的升高而升高，并且这种自愿披露水平的升高会提高股票的流动性。这个结果证实了自愿披露能提高股票的流动性。

关键词：信息披露，指数型基金，股票流动性

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

Jordan Schoenfeld (Eccles School of Business, University of Utah)

ABSTRACT

This study tests whether voluntary disclosure affects stock liquidity. I argue that index funds fit the profile of nonstrategic traders who, according to theory, are unambiguously more likely than managers and strategic investors to prefer high stock liquidity and thus high disclosure. This suggests that I can use index funds' disclosure preferences to construct an empirical model of voluntary disclosure that abstracts away from managers' strategic disclosure motives. Accordingly, I use an index-fund setting to construct a re- cursive structural equation model of voluntary disclosure, index fund ownership, and liquidity. I find that when a firm joins the S&P 500 index, voluntary disclosure increases with the level of ownership assumed by index funds, and this increase in disclosure is associated with increased stock liquidity. These results imply that voluntary disclosure increases stock liquidity.

Keywords: Disclosure, Index funds, Stock liquidity

原文链接：http://www.sciencedirect.com/science/article/pii/S0165410116300763

翻译：汪国颂