Information Disclosure and Financial Markets: An Experimental Investigation

摘要自1934年《证券交易法》通过以来，公司财务状况信息披露一直是金融市场监管的核心内容。随着时间的推移，这些要求得到了改进和加强，出台了旨在提高公司信息披露的准确性和可靠性的法规，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，监管机构应该公开披露收集到的信息的数量。虽然公司特定信息的披露通常会提高市场的价格效率，但人们在几个方面对此表示担忧：公开披露可能会破坏银行之间的风险分担机会，可能会促使公司投资于产生高即时回报的短期项目，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。本项目使用实验室实验来研究分析金融市场信息披露这些重要问题的最新理论模型的行为相关性。这个项目包括三个实验。第一个实验评估了一个模型，该模型提供了一个框架，以平衡对银行状况的过度信息披露可能破坏银行间市场允许的风险分担机会的担忧，以及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，而选择产生更高短期回报的替代项目。第三个实验评估了不同类型的公开披露对市场聚合信息能力的影响。总的来说，这些实验推进了金融市场信息披露的知识体系。该奖项反映了美国国家科学基金会的法定使命，并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，被认为值得支持。

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.