主题：Does Voluntary Disclosure Reduce Liquidity-driven Price Pressure?Evidence from Fire Sale by Mutual Funds

报告人：Xie Yuan（谢远） 教授（Fordham University）

时间：2019年5月31日（星期五）15：00-17：00

内容摘要：Fire sales by mutual funds represent an exogenous shock to stockliquidity and exert downward pressure to stock prices unrelated to firmfundamentals. We examine whether more voluntary disclosure prior to fire salesalleviates the downward price pressure caused by fire sales. We find that whenmanagers issue more forecasts in the year prior to fire sales, their companieshave less negative abnormal stock returns during the quarter of fire sales andexperience faster recovery subsequent to fire sales. The mitigating effect ofmanagement forecasts on negative stock returns accompanying fire sales is morepronounced when retail investors are more heavily involved in the trading offire-sale securities. Additional analyses suggest that the endogeneity concernregarding voluntary disclosure is unlikely to drive the main finding. Theoverall evidence supports the notion that greater transparency in corporatedisclosures can alleviate liquidity-driven mispricing.