The role of dissemination in market liquidity: Evidence from firms' use of Twitter™

Accounting Review

Volumn 89, Issue 1, 2014, Pages 79-112

  Blankespoor, Elizabeth ^a   Miller, Gregory S ^b   White, Hal D ^b  

^a STANFORD UNIVERSITY   (United States)

^b UNIVERSITY OF MICHIGAN   (United States)

Author keywords

Bid ask spread; Disclosure; Dissemination; Information asymmetry; Liquidity; Social media; Twitter

Indexed keywords

EID: 84894336154     PISSN: 00014826     EISSN: None     Source Type: Journal    
DOI: 10.2308/accr-50576     Document Type: Conference Paper

References (57)

1. Akins, B., J. Ng, and R. Verdi. 2012. Investor competition and the pricing of information asymmetry. The Accounting Review 87 (1): 35-58.
2. Amihud, Y., H. Mendelson, and B. Lauterbach. 1997. Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange. Journal of Financial Economics 45 (3): 365-390.
3. Antweiler, W., and M. Frank. 2004. Is all that talk just noise? The information content of stock message boards. The Journal of Finance 59 (3): 1259-1294.
4. Ashbaugh, H., K. Johnstone, and T. Warfield. 1999. Corporate reporting on the Internet. Accounting Horizons 13 (3): 241-257.
5. Barber, B., T. Odean, and N. Zhu. 2009. Do retail trades move markets? The Review of Financial Studies 22 (1): 151-186.
6. Belsley, D. A., E. Kuh, and R. E. Welsch. 1980. Regression Diagnostics: Identifying Influential Data and Sources of Collinearity. New York, NY: John Wiley & Sons.
7. Berger, P., and R. Hann. 2007. Segment profitability and the proprietary and agency costs of disclosure. The Accounting Review 82 (4): 869-906.
8. Beyer, A., D. A. Cohen, T. Z. Lys, and B. R. Walther. 2010. The financial reporting environment: Review of the recent literature. Journal of Accounting and Economics 50 (2): 296-343.
9. Botosan, C. 1997. Disclosure level and the cost of equity capital. The Accounting Review 72 (3): 323-349.
10. Bushee, B., J. Core, W. Guay, and S. Hamm. 2010. The role of the business press as an information intermediary. Journal of Accounting Research 48 (1): 1-19.
11. Bushee, B., D. Matsumoto, and G. Miller. 2003. Open versus closed conference calls: The determinants and effects of broadening access to disclosure. Journal of Accounting and Economics 34 (1): 149-180.
12. Bushee, B., D. Matsumoto, and G. Miller. 2004. Managerial and investor responses to disclosure regulation: The case of Reg FD and conference calls. The Accounting Review 79 (3): 617-743.
13. Bushee, B., and G. Miller. 2012. Investor relations, firm visibility, and investor following. The Accounting Review 87 (3): 867-897.
14. Bushee, B., and C. Noe. 2000. Corporate disclosure practices, institutional investors, and stock return volatility. Journal of Accounting Research 38 (Supplement): 171-202.
15. Campbell, J., T. Ramadorai, and A. Schwartz. 2009. Caught on tape: Institutional trading, stock returns, and earnings announcements. Journal of Financial Economics 92 (1): 66-91.
16. Cohen, K. J., S. F. Maier, R. A. Schwartz, and D. K. Whitcomb. 1986. The Microstructure of Securities Markets. Englewood Cliffs, NJ: Prentice Hall.
17. Cooper, S. K., J. C. Groth, and W. E. Avera. 1985. Liquidity, exchange listing and common stock performance. Journal of Economics and Business 37 (1): 19-33.
18. Da, Z., J. Engelberg, and P. Gao. 2011. In search of attention. Journal of Finance 66 (5): 1461-1499.
19. Diamond, D. W., and R. E. Verrecchia. 1991. Disclosure, liquidity, and the cost of capital. The Journal of Finance 46 (4): 1325-1359.
20. Drake, M., D. Roulstone, and J. Thornock. 2012. Investor information demand: Evidence from Google searches around earnings announcements. Journal of Accounting Research 50 (4): 1001-1040.
21. Ettredge, M., V. Richardson, and S. Scholz. 2002. Dissemination of information for investors at corporate web sites. Journal of Accounting and Public Policy 21 (4): 357-369.
22. Field, L., M. Lowry, and S. Shu. 2005. Does disclosure deter or trigger litigation? Journal of Accounting and Economics 39 (3): 487-507.
23. Glosten, L. R., and L. E. Harris. 1988. Estimating the components of the bid/ask spread. Journal of Financial Economics 21 (1): 123-142.
24. Glosten, L. R., and P. R. Milgrom. 1985. Bid, ask and transaction prices in a specialist market with heterogeneously informed traders. Journal of Financial Economics 14 (1): 71-100.
25. Grossman, S., and J. Stiglitz. 1980. On the impossibility of informationally efficient markets. American Economic Review 70 (3): 393-408.
26. Harris, L. 1990. Liquidity, Trading Rules and Electronic Trading Systems. New York University Monograph Series in Finance and Economics. Monograph No. 1990-4. New York, NY: New York University.
27. Harris, M. 1998. The association between competition and managers' business segment reporting decisions. Journal of Accounting Research 36 (1): 111-128.
28. Hayes, R., and R. Lundholm. 1996. Segment reporting to the capital market in the presence of a competitor. Journal of Accounting Research 34 (2): 261-279.
29. Healy, P., A. Hutton, and K. Palepu. 1999. Stock performance and intermediation changes surrounding sustained increases in disclosure. Contemporary Accounting Research 16 (3): 485-520.
30. Hirshleifer, D., and S. H. Teoh. 2003. Limited attention, information disclosure, and financial reporting. Journal of Accounting and Economics 36 (1): 337-386.
31. Hogan, D. 2011. Bull, bear, and bird? Social media comes to investor relations. ABA Banking Journal (April 29). Available at: http://www.ababj.com/ community-banking/item/2295-bull-bear-and-birdsocial-media-and-investor- relations.
32. Hong, H., and J. Stein. 1999. A unified theory of underreaction, momentum trading, and overreaction in asset markets. Journal of Finance 54 (6): 2143-2184.
33. Hutton, A., G. S. Miller, and D. Skinner. 2003. The role of supplementary statements with management earnings forecasts. Journal of Accounting Research 41 (5): 886-890.
34. Kasznik, R., and B. Lev. 1995. To warn or not to warn: Management disclosure in the face of an earnings surprise. The Accounting Review 70 (1): 113-134.
35. Kavajecz, K. 1999. The specialist's quoted depth and the limit order book. Journal of Finance 52: 747-771.
36. Kim, O., and R. E. Verrecchia. 1994. Market liquidity and volume around earnings announcements. Journal of Accounting and Economics 17 (1): 41-67.
37. Kyle, A. S. 1985. Continuous auctions and insider trading. Econometrica 53 (6): 1315-1336.
38. Lang, M., and R. Lundholm. 1996. Corporate disclosure policy and analyst behavior. The Accounting Review 71 (4): 467-492.
39. Lee, C. M. C., B. Mucklow, and M. J. Ready. 1993. Spreads, depths, and the impact of earnings information: An intraday analysis. The Review of Financial Studies 6 (2): 345-374.
40. Lee, C. M. C., and B. Radhakrishna. 2000. Inferring investor behavior: Evidence from TORQ data. Journal of Financial Markets 3 (2): 83-111.
41. Lee, C. M. C., and M. J. Ready. 1991. Inferring trade direction from intraday data. Journal of Finance 46 (2): 733-746.
42. Lehavy, R., and R. G. Sloan. 2008. Investor recognition and stock returns. Review of Accounting Studies 13 (2-3): 327-361.
43. Lerman, A. 2011. Individual Investors' Attention to Accounting Information: Message Board Discussions. Working paper, New York University.
44. Leuz, C., and R. E. Verrecchia. 2000. The economic consequences of increased disclosure. Journal of Accounting Research 38 (Supplement): 91-124.
45. Leuz, C., and P. Wysocki. 2008. Economic Consequences of Financial Reporting and Disclosure Regulation: A Review and Suggestions for Future Research. Working paper, The University of Chicago and University of Miami.
46. Merton, R. 1987. A simple model of capital market equilibrium with incomplete information. Journal of Finance 42 (3): 483-510.
47. Miller, G. 2002. Earnings performance and discretionary disclosure. Journal of Accounting Research 40 (1): 173-204.
48. Miller, G. 2006. The press as a watchdog for accounting fraud. Journal of Accounting Research 44 (5): 1001-1033.
49. Motley, A. 2011. An individual disclosure decision. IR Update (March 7-10).
50. Piotroski, J. 2003. Discussion of the impact of SFAS No. 131 on information and monitoring. Journal of Accounting Research 41 (2): 225-234.
51. Q4 Web Systems. 2009. Public Companies and Their Use of Twitter for Investor Relations. An Analysis of Corporate Reporting Using Social Media. Available at: http://go.q4websystems.com/TwitterforIR-November18-2009- Whitepaperdownload.html.
52. Schrand, C., and B. Walther. 2000. Strategic benchmarks in earnings announcements: The selective disclosure of prior-period earnings components. The Accounting Review 75 (2): 151-177.
53. Securities and Exchange Commission (SEC). 2008. Commission Guidance on the Use of Company Websites. Release No. 34-58288. Washington, DC: SEC.
54. Skinner, D. 1994. Why firms voluntarily disclose bad news. Journal of Accounting Research 32 (1): 38-60.
55. Van Buskirk, A. 2012. Disclosure frequency and information asymmetry. Review of Quantitative Finance and Accounting 38 (4): 411-440.
56. Van Ness, B. F., R. A. Van Ness, and R. S. Warr. 2001. How well do adverse selection components measure adverse selection? Financial Management 30 (3): 77-98.
57. Wysocki, P. 1998. Cheap Talk on the Web: The Determinants of Postings on Stock Message Boards. Working paper, University of Michigan.