Earnings News and Over‐the‐Counter Markets
研究发现企业盈利公告期间债券市场流动性显著增加，原因是场外交易中的搜索和议价成本降低，这超过了信息不对称增加的影响。
ABSTRACT We document significant increases in bond market liquidity around earnings announcements. These increases are attributed to decreased search and bargaining costs, which arise from the over‐the‐counter (OTC) nature of bond markets and outweigh increases in information asymmetry during these periods. Our evidence traces reductions in search and bargaining costs to two sources around earnings announcements: (1) improved access to dealers and (2) increased participation from institutional investors, who can more easily transact with multiple dealers. Overall, our findings highlight a novel channel through which firm‐specific information affects asset prices.