Asymmetric Effects of Voluntary Disclosure on Stock Liquidity: Evidence from 8-K Filings
Accounting and Finance, Forthcoming
46 Pages Posted: 8 Dec 2019
Date Written: November 21, 2019
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: Suggested Citation