| Abstract: |
We study the role of disclosure acquisition costs in volume reactions and pricing efficiency around periodic earnings announcements. Our identification strategy exploits the SEC’s staggered implementation of the EDGAR system as an exogenous, randomly-assigned reduction of investors’ acquisition costs of mandatory disclosure filings. We find that firms included in EDGAR have lower trading volume around earnings announcements. Our evidence suggests that investors have reduced differential interpretations of earnings announcements with lower disclosure acquisition costs, with more pronounced effects for firms with poorer information environments. In addition, we show that lower disclosure acquisition costs lead to improved disclosure pricing efficiency with respect to earnings announcements. Finally, we show that reduced disclosure acquisition costs are most beneficial for retail investors, as volume changes are primarily driven by small investors’ trades. Our paper highlights the importance of disclosure access cost—a type of disclosure processing cost in capital market consequences of mandatory disclosures.
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Biography:
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Prof. Kevin Tseng is an Associate Professor at the Chinese University of Hong Kong (CUHK) Business School. He previously taught at the National Taiwan University (NTU) as the EMBA Alumni Elite Chair and the Chen-Yung Outstanding Scholar. Before joining NTU, he was a Financial Economist at the Federal Reserve Bank of Richmond and an Assistant Professor at the University of Kansas’ School of Business.
Prof. Tseng has a broad research interest. He has published in the areas of intangibles, asset pricing, disclosure, innovation, corporate finance, and behavioral economics. His articles have appeared in leading scholarly journals, including The Journal of Finance, the Journal of Accounting and Economics, Review of Financial Studies, Management Science, the Journal of Financial and Quantitative Analysis, Contemporary Accounting Research, and the Journal of Economics and Management Strategy. In 2022, he received the MOST Outstanding Research Award; in 2015, he received the WFA Cubist Systematic Strategies PhD Candidate Award for Outstanding Research.
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