Disclosure Standards and the Sensitivity of Returns to Mood
研究发现，更高质量的披露标准能降低股票回报对投资者情绪噪声的敏感性，通过引导易受情绪影响的投资者转向信息交易并促进套利，从而提升价格效率。
We provide evidence that higher-quality disclosure standards are associated with stock returns that are less sensitive to noise driven by investors' moods. We identify return-mood sensitivity (RMS) based on the association between index returns and urban cloudiness, a source of short-term variation in mood. Based on a stylized model, we predict and find evidence consistent with higher-quality disclosure standards reducing RMS by tilting susceptible investors' trades toward information and by facilitating sophisticated investors' arbitrage. Our findings suggest that disclosure standards play an important role in enhancing price efficiency by reducing noise in returns, particularly noise related to investors' short-term moods. Received January 31, 2014; accepted August 5, 2015 by Editor David Hirshleifer.