Abstract

http://ssrn.com/abstract=1657169
 
 

References (107)



 


 



The Role of Dissemination in Market Liquidity: Evidence from Firms' Use of Twitter


Elizabeth Blankespoor


Stanford University - Graduate School of Business

Gregory S. Miller


University of Michigan, Stephen M. Ross School of Business

Hal D. White


University of Michigan at Ann Arbor - The Stephen M. Ross School of Business; Penn State University

April 24, 2013

Accounting Review, Forthcoming
Rock Center for Corporate Governance at Stanford University Working Paper No. 135

Abstract:     
Firm disclosures often reach only a portion of investors, which results in information asymmetry among investors, and therefore lower market liquidity. This issue is particularly salient for firms that are not highly visible, as they tend not to receive broad news dissemination via traditional intermediaries, such as the press. This paper examines whether firms can reduce information asymmetry by more broadly disseminating their news. To isolate the impact of dissemination, we focus our analysis on firms' use of Twitter and exploit the 140-character message restriction. Specifically, using a sample of technology firms, we examine the impact of using Twitter to send market participants links to press releases that are provided via traditional disclosure methods. We find this additional dissemination of firm-initiated news via Twitter is associated with lower abnormal bid-ask spreads and greater abnormal depths, consistent with a reduction in information asymmetry. Moreover, this result holds mainly for firms that are not highly visible, consistent with them being in greater need of this additional dissemination channel. We also examine the impact of dissemination on a volume-based measure of liquidity, and find that dissemination is positively associated with liquidity.

Number of Pages in PDF File: 1

Keywords: Disclosure, Dissemination, Liquidity, Information Asymmetry, Bid-Ask Spread, Twitter, Social Media

JEL Classification: D82, M00, M20, M49

Accepted Paper Series





Download This Paper

Date posted: August 11, 2010 ; Last revised: August 7, 2013

Suggested Citation

Blankespoor, Elizabeth and Miller, Gregory S. and White, Hal D., The Role of Dissemination in Market Liquidity: Evidence from Firms' Use of Twitter (April 24, 2013). Accounting Review, Forthcoming; Rock Center for Corporate Governance at Stanford University Working Paper No. 135. Available at SSRN: http://ssrn.com/abstract=1657169 or http://dx.doi.org/10.2139/ssrn.1657169

Contact Information

Elizabeth Blankespoor
Stanford University - Graduate School of Business ( email )
518 Memorial Way
Stanford, CA 94305-5015
United States
Gregory S. Miller (Contact Author)
University of Michigan, Stephen M. Ross School of Business ( email )
701 Tappan Street
Ann Arbor, MI MI 48109
United States
Hal D. White
University of Michigan at Ann Arbor - The Stephen M. Ross School of Business ( email )
701 Tappan Street
Ann Arbor, MI MI 48109
United States
Penn State University ( email )
210 Business Building
Smeal College of Business
University Park, PA 16802-3306
United States
814-863-7055 (Phone)
Feedback to SSRN


Paper statistics
Abstract Views: 5,284
Downloads: 1,373
Download Rank: 6,905
References:  107

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo1 in 0.344 seconds