Asymmetric Effects of Voluntary Disclosure on Stock Liquidity: Evidence from 8-K Filings

Accounting and Finance, Forthcoming

46 Pages Posted: 8 Dec 2019

See all articles by Hyunkwon Cho

Hyunkwon Cho

Sungkyunkwan University

Robert Kim

University of Massachusetts Boston

Date Written: November 21, 2019

Abstract

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.

Keywords: 8-K filings, Voluntary disclosure, Stock liquidity, Textual analysis, Disclosure tone

JEL Classification: G12, G14

Suggested Citation

Cho, Hyunkwon and Kim, Robert, Asymmetric Effects of Voluntary Disclosure on Stock Liquidity: Evidence from 8-K Filings (November 21, 2019). Accounting and Finance, Forthcoming, Available at SSRN: https://ssrn.com/abstract=3491349

Hyunkwon Cho

Sungkyunkwan University ( email )

53 Myeongnyun-dong 3-ga Jongno-ju
Guro-gu
Seoul, 110-745
Korea, Republic of (South Korea)

Robert Kim (Contact Author)

University of Massachusetts Boston ( email )

100 Morrissey Blvd.
College of Management
Boston, MA 02125
United States

HOME PAGE: http://ssrn.com/author=1376774

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