财务金融系系列讲座之220期

时间：2017年11月2日（周四）13:30

地点：史带楼603室

主持人：Prof. Qi ZHU　 Department of Finance, School of Management, Fudan University

主题：Does Public Disclosure Crowd Out Private Information Production?

演讲者：Phd. Ruichang Lu Guanghua School of Management, Peking University

摘要：This paper investigates how the public information disclosure affects the private information acquisition and its net impact on pricing efficiency. Using the phases implementation of TRACE in the corporate bond market as a shock to public information (transaction price and volume) disclosure, we find two primary results. First, when public information disclosure increases, there is a reduction in private information production, measured by fewer bond analysts reports. These reports also have smaller file size and fewer pages. Second, the net impact of more public information disclosure on pricing efficiency is positive, measured by shorter bond return drift after bond analyst report or after credit rating change, lower delay, and more closely approximate random walks for bond prices. These effects are similar in bond groups sorted by liquidity, trading activity, and maturity and are robust to controlling for time-varying liquidity and trading activity. These results highlight that increased public information disclosure may crowd out the private information production and have a positive net effect on pricing efficiency.

简介：Dr. Ruichang Lu is an Assistant Professor of Finance at Guanghua School of Management, Peking University. His research interests are Banking, Financial Intermediary, and Corporate Finance. He holds a B.A. in Real Estate Management and M.A in Economics from Shanghai University of Finance and Economics. He holds a PhD. in Finance from National University of Singapore.  His papers have been accepted for publication in JFQA and Economics Letters. He has also been awarded with WFA Cubist Systematic Strategies Ph.D. Candidate Award for Outstanding Research and best paper prize from the Annual Conference on Asia-Pacific Financial Markets of the Korean Securities Association.

funds get preferential treatment depending on their ownership level, and hosting firms strategically organize their private in-house meetings to smooth stock return volatility.

财务金融系

2017-10-31