Firm Opacity Lies in the Eye of the Beholder
检验了公司不透明性的多种实证度量指标，通过信用评级启动和标普500指数纳入两个外生冲击，发现分析师数量和Amihud非流动性比率是衡量公司不透明性的最一致指标，并证实银行比非银行更不透明。
We classify and test empirical measures of firm opacity and document theoretical and empirical inconsistencies across these proxies by testing the relative opacity of banks versus non‐banks. We evaluate the effectiveness of these proxies by observing the effect of two cleanly identified shocks to firm‐specific information: credit rating initiation and inclusion in the S&P 500 index. Using a difference‐in‐difference approach, we compare firms that are newly rated and firms that are included in the S&P 500 index with a propensity matched sample of “unchanged” firms. We find that only the number of analysts and Amihud's illiquidity ratio provide consistent patterns across different estimation specifications and different econometric settings. These two proxies show that banks are more opaque than non‐banks. Based on our tests, we recommend that these proxies be used as the primary measures of firm opacity.