Contemporary Accounting Research · 2016,VOL.33,NO.3,pages：920-948

私人中介创新和市场流动性：从粉单市场?的证据

作者：John (Xuefeng) Jiang (Michigan State University), Kathy R. Petroni (Michigan State University), Isabel Wang (Michigan State University)

摘要：2007年，粉单有限责任公司给每个粉单公司指定一个披露等级，并且在其网站的股票标志上附着一个彩色图形，象征公司的公开信息披露水平。这种独特的创新使我们能够调查流动性信息披露程度指标显著上升所带来的影响。通过DID模型，我们发现，相对其他未分类的OTC企业，被划分到流通信息（Current Information）类的公司经历了流动性的增加，而被划分到了无信息（No Information）类的公司经历了流动性的减少。这表明，信息披露程度指标（通过指定披露等级）的提升会影响投资者关注，进而导致交易行为的变化，最终转化为流动性的变化。我们还提供证据表明，一些投资者会预期流动性的变化。因为在披露等级正式发布之前的关键事件日期周围，股票收益率与随之而来的流动性变化呈正相关关系。

Private Intermediary Innovation and Market Liquidity: Evidence from the Pink Sheets? Market

John (Xuefeng) Jiang (Michigan State University), Kathy R. Petroni (Michigan State University), Isabel Wang (Michigan State University)

ABSTRACT

In 2007, Pink Sheets LLC assigned each Pink Sheets? company to a disclosure tier and on its website affixed a colorful graphic to its stock symbol signifying the company's public disclosure level. This unique innovation allows us to investigate the impact of increased salience of disclosure practices on liquidity. Using a difference-in-difference design, we find evidence that firms classified in to the Current Information category experienced an increase in liquidity while firms classified in to the No Information category experienced a decrease in liquidity, both relative to other unclassified OTC firms. This suggests that increases in the salience of disclosure practices via assignment to disclosure tiers affects investors’ attention, leading to changes in trading behavior that ultimately translate into liquidity changes. We also provide evidence that some investors anticipated the resulting liquidity changes because stock returns around a key event date leading up to the release of the disclosure tiers are positively associated with subsequent liquidity changes.

原文链接：

https://www.researchgate.net/publication/282497693_Private_Intermediary_Innovation_and_Market_Liquidity_Evidence_from_the_Pink_SheetsR_Market

翻译：黄涛