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The effect of exogenous information on voluntary disclosure and market quality
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Frenkel, Sivan, Guttman, Ilan and Kremer, Ilan (2020) The effect of exogenous information on voluntary disclosure and market quality. Journal of Financial Economics, 138 (1). pp. 176-192. doi:10.1016/j.jfineco.2020.04.018 ISSN 0304-405X.
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Official URL: https://doi.org/10.1016/j.jfineco.2020.04.018
Abstract
We analyze a model in which information may be voluntarily disclosed by a firm and/or by a third party, e.g., financial analysts. Due to its strategic nature, corporate voluntary disclosure is qualitatively different from third-party disclosure. Greater analyst coverage crowds out (crowds in) corporate voluntary disclosure when analysts mostly discover information that is available (unavailable) to the firm. Nevertheless, greater analyst coverage always improves the overall quality of public information. We base this claim on two market quality measures: price efficiency, which is statistical in nature, and liquidity, which is derived in a trading stage that follows the disclosure stage.
Item Type: | Journal Article | ||||||||
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Divisions: | Faculty of Social Sciences > Economics | ||||||||
Journal or Publication Title: | Journal of Financial Economics | ||||||||
Publisher: | Elsevier Science BV | ||||||||
ISSN: | 0304-405X | ||||||||
Official Date: | October 2020 | ||||||||
Dates: |
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Volume: | 138 | ||||||||
Number: | 1 | ||||||||
Page Range: | pp. 176-192 | ||||||||
DOI: | 10.1016/j.jfineco.2020.04.018 | ||||||||
Status: | Peer Reviewed | ||||||||
Publication Status: | Published | ||||||||
Access rights to Published version: | Restricted or Subscription Access | ||||||||
Date of first compliant deposit: | 14 January 2020 | ||||||||
Date of first compliant Open Access: | 5 November 2021 | ||||||||
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