Information Disclosure and Financial Markets: An Experimental Investigation

摘要自1934年《证券交易法》通过以来，披露有关公司财务状况的信息一直是金融市场监管的核心内容。随着时间的推移，要求得到了细化和加强，监管旨在提高公司披露的准确性和可靠性，最近还要求银行和其他金融机构定期报告压力测试结果，以评估该机构应对高度不利事件的能力。一个重要的问题涉及监管当局应该公开披露的收集到的信息的数量。尽管披露特定于公司的信息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立即产生高回报的短期项目，而不是更有利可图的长期项目，并可能干扰市场有效收集信息的能力。该项目使用实验室实验来调查最近分析金融市场信息披露这些重要问题的理论模型的行为相关性。该项目由三个实验组成。第一个实验评估了一个模型，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破坏银行间市场允许的风险分担机会的担忧，以及披露信息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集信息的能力的影响。总体而言，这些实验促进了金融市场信息披露方面的知识体系。这一奖项反映了NSF的法定使命，并通过使用基金会的智力优势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.