光華講壇——社會名流與企業家論壇第6497期

主題：Disclosure Acquisition Costs, Volume Reactions, and Pricing Efficiency-A Natural Experiment (披露獲取成本、交易量反應與定價效率——一個自然實驗)

主講人：香港中文大學 Tseng, Kevin副教授

主持人：西南財經大學 金智教授

時間：4月22日 15:00-16:30

會議地點：西南財經大學柳林校區誠正樓650會議室

主辦單位：新時代中國特色財務與會計理論創新與方法體系研究團隊 會計學院 科研處

主講人簡介：

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.

曾俊凱教授為香港中文大學商學院副教授。他曾任教于臺灣大學(NTU)，擔任EMBA校友精英主席和Chen-Yung杰出學者。在加入NTU之前，他是里士滿聯邦儲備銀行的金融經濟學家和堪薩斯大學商學院的助理教授。曾教授的研究興趣廣泛。他在無形資產、資產定價、信息披露、創新、公司金融和行為經濟學等領域發表過著作。他的文章發表在國外高水平學術期刊上，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年獲得MOST杰出研究獎；2015年獲WFA立體主義系統策略博士研究生杰出研究獎。

內容簡介：

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.

我們研究了在定期盈利公告前后，信息披露獲取成本對交易量反應和定價效率的作用。我們利用美國證券交易委員會（SEC）交錯實施EDGAR系統作為外生沖擊，識別投資者獲取強制性信息披露文件的成本的隨機降低。我們發現，被納入EDGAR系統的公司在盈利公布前后的交易量較低。我們的證據表明，隨著信息披露獲取成本的降低，投資者對盈利公告的異質性解釋也會減少，并且這對信息環境較差的公司的影響更為顯著。此外，我們還發現，較低的信息披露獲取成本提高了盈利公告的信息披露定價效率。最后，我們表明，信息披露獲取成本的降低對散戶投資者最為有利，因為交易量的變化主要是由小投資者的交易驅動的。 我們的論文強調了信息披露獲取成本（一種披露處理成本）在資本市場強制性信息披露后果中的重要性。