“百年庆”会计高层次“新财经”学术讲坛

主题：Disclosure Acquisition Costs, Volume Reactions, and Pricing Efficiency-A Natural Experiment (披露获取成本、交易量反应与定价效率——一个自然实验)

主讲人：香港中文大学 Tseng, Kevin 老师

主持人：西南财经大学 金智 老师

时间：2024-4-22 15:00-16:30

会议地点：西南财经大学柳林校区诚正楼650会议室

主办单位：新时代中国特色财务与会计理论创新与方法体系研究团队 数字经济重大基础理论与实践创新研究团队 澳门·新莆京(中国)官方网站-App Store 科研处

主讲人简介：

Prof. Kevin Tseng is an Associate Professor at the Chinese University of Hong Kong (CUHK) Business School. He previously taught at the National Taiwan University (NTU) as the EMBA Alumni Elite Chair and the Chen-Yung Outstanding Scholar. Before joining NTU, he was a Financial Economist at the Federal Reserve Bank of Richmond and an Assistant Professor at the University of Kansas’ School of Business.

Prof. Tseng has a broad research interest. He has published in the areas of intangibles, asset pricing, disclosure, innovation, corporate finance, and behavioral economics. His articles have appeared in leading scholarly journals, including The Journal of Finance, the Journal of Accounting and Economics, Review of Financial Studies, Management Science, the Journal of Financial and Quantitative Analysis, Contemporary Accounting Research, and the Journal of Economics and Management Strategy. In 2022, he received the MOST Outstanding Research Award; in 2015, he received the WFA Cubist Systematic Strategies PhD Candidate Award for Outstanding Research.

曾俊凯教授为香港中文大学商学院副教授。他曾任教于台湾大学(NTU)，担任EMBA校友精英主席和Chen-Yung杰出学者。在加入NTU之前，他是里士满联邦储备银行的金融经济学家和堪萨斯大学商学院的助理教授。曾教授的研究兴趣广泛。他在无形资产、资产定价、信息披露、创新、公司金融和行为经济学等领域发表过著作。他的文章发表在国外高水平学术期刊上，包括《The Journal of Finance》、《the Journal of Accounting and Economics》、《Review of Financial Studies》、《Management Science》、《the Journal of Financial and Quantitative Analysis》、《Contemporary Accounting Research》和《the Journal of Economics and Management Strategy》。他于2022年获得MOST杰出研究奖；2015年获WFA立体主义系统策略博士研究生杰出研究奖。

内容简介：

We study the role of disclosure acquisition costs in volume reactions and pricing efficiency around periodic earnings announcements. Our identification strategy exploits the SEC’s staggered implementation of the EDGAR system as an exogenous, randomly-assigned reduction of investors’ acquisition costs of mandatory disclosure filings. We find that firms included in EDGAR have lower trading volume around earnings announcements. Our evidence suggests that investors have reduced differential interpretations of earnings announcements with lower disclosure acquisition costs, with more pronounced effects for firms with poorer information environments. In addition, we show that lower disclosure acquisition costs lead to improved disclosure pricing efficiency with respect to earnings announcements. Finally, we show that reduced disclosure acquisition costs are most beneficial for retail investors, as volume changes are primarily driven by small investors’ trades. Our paper highlights the importance of disclosure access cost—a type of disclosure processing cost in capital market consequences of mandatory disclosures.

我们研究了在定期盈利公告前后，信息披露获取成本对交易量反应和定价效率的作用。我们利用美国证券交易委员会（SEC）交错实施EDGAR系统作为外生冲击，识别投资者获取强制性信息披露文件的成本的随机降低。我们发现，被纳入EDGAR系统的公司在盈利公布前后的交易量较低。我们的证据表明，随着信息披露获取成本的降低，投资者对盈利公告的异质性解释也会减少，并且这对信息环境较差的公司的影响更为显著。此外，我们还发现，较低的信息披露获取成本提高了盈利公告的信息披露定价效率。最后，我们表明，信息披露获取成本的降低对散户投资者最为有利，因为交易量的变化主要是由小投资者的交易驱动的。 我们的论文强调了信息披露获取成本（一种披露处理成本）在资本市场强制性信息披露后果中的重要性。