The Effect of Market Transparency on Corporate Disclosure: Evidence from the Observability of Bond Prices and Trading
利用TRACE系统分阶段引入使债券价格和交易公开可观测，研究发现市场透明度提高后企业更愿意发布业绩指引，尤其是坏消息，表明投资者获取市场信息能减少管理层隐瞒信息的动机。
ABSTRACT Market prices and trading are important information constructs that reveal information to market participants. I study how the observability of market prices and trading (hereafter, market transparency) affects firms' disclosure incentives. I exploit the staggered introduction of TRACE, which made bond prices and transactions publicly observable. I find that firms provide more guidance when their bonds' prices/trading become observable, suggesting that investors' access to market information limits managers' incentives to withhold information. This effect is stronger for firms whose revealed prices contain more new information, and it is more pronounced for the disclosure of bad news. I corroborate my results using (1) a controlled experiment, in which prices/trading were revealed for randomly selected bonds, and also (2) relevant threshold rules. Together, my results suggest that increased market transparency improves investors' access to information not only directly, by revealing the information contained in returns/trading, but also indirectly, by increasing corporate disclosure.