Does Stock Liquidity Shape Voluntary Disclosure? Evidence from the SEC Tick Size Pilot Program

2021 ◽  
Author(s):  
Ole-Kristian Hope ◽  
Junhao Liu
Keyword(s):  
Voluntary Disclosure ◽  
Pilot Program ◽  
Tick Size ◽  
Stock Liquidity

Information Externalities of SFAS 161: Evidence from Supply Chains

2020 ◽  
Author(s):  
Jing Chen ◽  
Yiwei Dou ◽  
Youli Zou
Keyword(s):  
Supply Chains ◽  
Voluntary Disclosure ◽  
Information Environment ◽  
Short Term ◽  
Positive Information ◽  
Stock Liquidity ◽  
Disclosure Policy ◽  
One Year

Effective in 2009, SFAS 161 requires enhanced disclosures about derivative use and hedging activities. We test for changes to the information environment of firms whose disclosure policy is unaffected by this standard directly. Using a sample of non-users of derivatives, we find an increase in stock liquidity after their critical customers expand derivative disclosures under SFAS 161. The effect persists for one year and becomes insignificant in subsequent years as the firms dial back their voluntary disclosure. The effect is also more salient for firms that have stronger economic links with their customers and for firms whose customers exhibit more significant improvements in derivative disclosures. The findings suggest that the mandatory derivative disclosures due to SFAS 161 lead to short-term positive information externalities along supply chains.

Dark Pool Trading and Information Acquisition

2021 ◽  
Author(s):  
Jonathan Brogaard ◽  
Jing Pan
Keyword(s):  
Information Acquisition ◽  
Stock Price ◽  
Earnings Announcements ◽  
Algorithmic Trading ◽  
Price Dynamics ◽  
Pilot Program ◽  
Informational Efficiency ◽  
Tick Size ◽  
Dark Pool ◽  
Dark Pools

Abstract Theory suggests that dark pools may facilitate or discourage information acquisition. We find that more dark pool trading leads to greater information acquisition. We measure information acquisition using stock price dynamics around earnings announcements. To overcome endogeneity concerns, we exploit a large exogenous decrease to dark pool trading that results from the implementation of the Security and Exchange Commission’s (SEC’s) Tick Size Pilot Program. The results cannot be explained by lit venue liquidity, algorithmic trading, or informational efficiency. A battery of additional tests, such as documenting a shift in SEC EDGAR searches, supports the information acquisition interpretation.

scholarly journals Dampak Perubahan Tick Size Terhadap Likuiditas Saham (Studi Empiris Pada Bursa Efek Indonesia Berdasarkan Tick Size 6 Januari 2014)

2019 ◽  
Vol 2 (2) ◽  
pp. 152-162
Author(s):  
Risdy Absari Indah Pratiwi ◽  
Isfenti Sadalia ◽  
Sutarman Sutarman
Keyword(s):  
Stock Price ◽  
Rank Test ◽  
Tick Size ◽  
Stock Trading ◽  
Stock Liquidity ◽  
Trading Frequency ◽  
Stock Return Volatility ◽  
Spread Ratio ◽  
Signed Rank ◽  
Signed Rank Test

The objective of the research was to find out and to analyze the influence of the change in tick size on stock liquidity and the factors which influenced stock liquidity. Tick size which became the research object in this evet study was the tick size on January 6, 2014. The sources of data were secondary data from BEI and Yahoo Finance. The samples were 147 stocks before the change in tick size and 147 stocks after the change in tick size, using purposive sampling technique.The data were analyzed by using Wilcoxon signed-rank test and regression analysis with an SPSS software program. The result of the research showed that spread and depth decreased significantly after the change in tick size. Lower spread and depth had contradictory implication on stock liquidity. Based on the dimension of immediacy cost and width, lower spread indicated that stock liquidity increased, while based on the dimension of market depth, lower depth indicated that stock liquidity decreased. In order to settlethis contradiction, the researcher used depth to spread ratio. Intuitively, this ratio measured whether the decrease in depthwas bigger or smaller that the decrease in spread. The result of Wilcoxon signed-rank test indicated that depth to spread ratio increased significantly which indicated that the decrease in depth was smaller than in spread so that it was concluded that stock liquidity increased after the change in tick size. The result of F-test showed that stock price, stock return volatility, and stock trading frequency simultaneously had significant influence on spread and depth. The result of t-test also indicated that stock price, stock return volatility, and stock trading frequency partially had significant influence on spread and depth.

Minimum tick size and analyst coverage: Evidence from the Tick Size Pilot Program

2020 ◽  
Author(s):  
Zhenhua Chen ◽  
Adrienna Huffman ◽  
Gans Narayanamoorthy ◽  
Ruizhong Zhang
Keyword(s):  
Pilot Program ◽  
Tick Size ◽  
Analyst Coverage
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