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

自願披露對股票流動性的影響：來自指數型基金的新證據

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

摘要：本研究檢驗了自願披露對股票流動性的影響。本文認為指數型基金很好的滿足了财務投資者的投資需求，并且有關理論表明，财務投資者比管理者和戰略投資者更傾向于高的股票流動性和高水平的信息披露。因此，我可以利用指數型基金對公司信息披露的偏好構建一個能将自願披露和管理者的戰略信息披露分離開的實證模型。于是，文章利用指數型基金的成分股數據構建了一個關于自願披露、指數型基金持股比例和流動性的遞歸型結構方程模型。由此發現：對于S&P500公司，自願披露水平随着指數型基金持股比例的升高而升高，并且這種自願披露水平的升高會提高股票的流動性。這個結果證實了自願披露能提高股票的流動性。

關鍵詞：信息披露，指數型基金，股票流動性

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

原文鍊接：http://www.sciencedirect.com/science/article/pii/S0165410116300763

翻譯：汪國頌