Contemporary Accounting Research · 2016,VOL.33,NO.3,pages：920-948
私人中介創新和市場流動性：從粉單市場?的證據
作者：John (Xuefeng) Jiang (Michigan State University), Kathy R. Petroni (Michigan State University), Isabel Wang (Michigan State University)
摘要：2007年，粉單有限責任公司給每個粉單公司指定一個披露等級，并且在其網站的股票标志上附着一個彩色圖形，象征公司的公開信息披露水平。這種獨特的創新使我們能夠調查流動性信息披露程度指标顯著上升所帶來的影響。通過DID模型，我們發現，相對其他未分類的OTC企業，被劃分到流通信息（Current Information）類的公司經曆了流動性的增加，而被劃分到了無信息（No Information）類的公司經曆了流動性的減少。這表明，信息披露程度指标（通過指定披露等級）的提升會影響投資者關注，進而導緻交易行為的變化，最終轉化為流動性的變化。我們還提供證據表明，一些投資者會預期流動性的變化。因為在披露等級正式發布之前的關鍵事件日期周圍，股票收益率與随之而來的流動性變化呈正相關關系。
Private Intermediary Innovation and Market Liquidity: Evidence from the Pink Sheets? Market
John (Xuefeng) Jiang (Michigan State University), Kathy R. Petroni (Michigan State University), Isabel Wang (Michigan State University)
ABSTRACT
In 2007, Pink Sheets LLC assigned each Pink Sheets? company to a disclosure tier and on its website affixed a colorful graphic to its stock symbol signifying the company's public disclosure level. This unique innovation allows us to investigate the impact of increased salience of disclosure practices on liquidity. Using a difference-in-difference design, we find evidence that firms classified in to the Current Information category experienced an increase in liquidity while firms classified in to the No Information category experienced a decrease in liquidity, both relative to other unclassified OTC firms. This suggests that increases in the salience of disclosure practices via assignment to disclosure tiers affects investors’ attention, leading to changes in trading behavior that ultimately translate into liquidity changes. We also provide evidence that some investors anticipated the resulting liquidity changes because stock returns around a key event date leading up to the release of the disclosure tiers are positively associated with subsequent liquidity changes.
原文鍊接：
https://www.researchgate.net/publication/282497693_Private_Intermediary_Innovation_and_Market_Liquidity_Evidence_from_the_Pink_SheetsR_Market
翻譯：黃濤
