Information Disclosure and Financial Markets: An Experimental Investigation

信息披露与金融市场：实验研究

• 批准号: 1949112
• 负责人: Douglas Davis
• 金额: $ 17.35万
• 依托单位: Virginia Commonwealth University
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2020
• 资助国家: 美国
• 起止时间: 2020-08-01 至 2024-05-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=1949112&HistoricalAwards=false
• 关键词: Information; Disclosure; Financial; Markets; Experimental

AbstractThe disclosure of information regarding the financial condition of firms has been a centerpiece of financial market regulation since the passage of the Securities Exchange Act in 1934. Requirements have been refined and reinforced over time with regulations which was intended to improve the accuracy and reliability of corporate disclosures, and more recently mandates that banks and other financial institutions periodically report results of stress tests that assess the institution’s capacity to respond to highly adverse events. An important issue regards the amount of the information collected that regulatory authorities should disclose publicly. Although the disclosure of firm-specific information typically improves the price efficiency of markets, there are concerns about this on several fronts: Public disclosure may undermine risk sharing opportunities between banks, may drive firms to invest in short term projects that yield high immediate returns in lieu of more profitable longer term projects, and may interfere with the capacity of markets to effectively aggregate information. This project uses laboratory experiments to investigate the behavioral relevance of recent theoretical models that analyze these important issues on information disclosure in the financial markets.The project consists of three experiments. The first experiment evaluates a model which provides a framework for balancing the concern that excessive information disclosure of a bank’s condition may undermine the risk-sharing opportunities that interbank markets allow, against the general perception that disclosure improves price efficiency. The second experiment evaluates the predictions of a model that focuses on the issue that overly frequent disclosures may force institutions to forego more profitable long term projects in favor of alternative projects that yield higher short term returns. The third experiment evaluates the effects of different kinds of public disclosure on a market’s capacity to aggregate information. Overall, these experiments advances the body of knowledge on information disclosure in the financial markets.This award reflects NSF's statutory mission and has been deemed worthy of support through evaluation using the Foundation's intellectual merit and broader impacts review criteria.

摘要自1934年证券交易法通过以来，有关公司财务状况的信息披露一直是金融市场监管的核心。随着时间的推移，这些要求得到了完善和加强，制定了旨在提高公司披露的准确性和可靠性的条例，最近还规定银行和其他金融机构定期报告压力测试的结果，以评估该机构应对严重不利事件的能力。一个重要的问题是管理当局应公开披露的收集信息的数量。虽然披露具体公司的信息通常会提高市场的价格效率，但在几个方面对此存在担忧：公开披露可能会破坏银行之间分担风险的机会，可能会促使公司投资于短期项目，而不是更有利可图的长期项目，并可能干扰市场有效汇总信息的能力。本研究通过实验室实验，对金融市场信息披露的重要问题进行分析，并对最新理论模型的行为关联性进行研究。第一个实验评估一个模型，该模型提供了一个框架，用于平衡对银行状况的过度信息披露可能会破坏银行间市场允许的风险分担机会的担忧，以及对信息披露提高价格效率的普遍看法。第二个实验评估了一个模型的预测，该模型关注的问题是，过于频繁的披露可能会迫使机构放弃更有利可图的长期项目，转而选择短期回报率更高的替代项目。第三个实验评估了不同类型的公开披露对市场聚集信息能力的影响。总的来说，这些实验推进了金融市场信息披露的知识体系。该奖项反映了NSF的法定使命，并被认为值得通过使用基金会的知识价值和更广泛的影响审查标准进行评估来支持。