 Effect of corporate disclosure and press media on market liquidity: Evidence from JapanHiroyuki Aman and Hiroshi Moriyasu International Review of Financial Analysis, 2022, vol. 82, issue C Abstract: News on corporate information can enhance clarity or add to confusion for market participants, especially investors. We explore how two diverse types of information dissemination —corporate disclosure and media coverage—influence stock market liquidity by mediating information asymmetries. We conclude that the two information inflows have notable and distinct impacts on liquidity. Our chief finding suggests that information from corporate disclosures induces a wider bid-ask spread, consistent with increased information asymmetries among investors. In contrast, we find that press media coverage—both good and bad news—improves liquidity. This indicates that mass media is a critical channel that provides investors with news to mitigate information uncertainty. Further, this media effect is partly driven by original journalism coverage and assistance for investors' information assimilation. Finally, in the case of stocks in which retail investors' participation is greater, the liquidity-improving effect of mass media is more prominent. Keywords: Market liquidity; Bid-ask spread; Corporate disclosure; Press media (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001314 DOI: 10.1016/j.irfa.2022.102167 Access Statistics for this article International Review of Financial Analysis is currently edited by B.M. Lucey More articles in International Review of Financial Analysis from Elsevier |
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