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Asymmetric effects of voluntary disclosure on stock liquidity: evidence from 8‐K filings
Author(s) -
Cho Hyunkwon,
Kim Robert
Publication year - 2021
Publication title -
accounting and finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.645
H-Index - 49
eISSN - 1467-629X
pISSN - 0810-5391
DOI - 10.1111/acfi.12594
Subject(s) - market liquidity , voluntary disclosure , business , stock (firearms) , monetary economics , turnover , market maker , accounting , economics , finance , stock market , paleontology , management , horse , biology , mechanical engineering , engineering
This paper examines whether the change in stock liquidity subsequent to voluntary disclosure is different between good news and bad news. Using voluntary 8‐K filings, we find that the increase in stock liquidity is more pronounced for firms with good news disclosure than for firms with bad news disclosure. In addition, such findings are stronger when a firm is less visible and when the short‐selling costs are high, suggesting that these two factors play an important role in increasing stock liquidity. Overall, this paper provides evidence that the tone of voluntary 8‐K news is an important determinant of stock liquidity.