Price Rigidities and the Value of Public Information

Gu, Lifeng1,2; Xie, Jin3

2023-09-01

10.1111/1475-679X.12495

JOURNAL OF ACCOUNTING RESEARCH   影响因子和分区

0021-8456

1475-679X

Firms' inflexibility in adjusting output prices to economic shocks exacerbates information asymmetry with respect to firms' profits, but public information on firms' cost structure mitigates this problem. We construct a novel form of public information from economic statistics disclosed by the government and find that such public information significantly reduces inflexible-price firms' bid-ask spreads, the probability of informed trading, and analyst forecast dispersions, but these results do not hold for flexible-price firms. Security analysts seek more cost-related information during conference calls about inflexible-price firms, but such a phenomenon is observed less frequently if a firm's input cost is more publicly observable. In addition, stock markets react more strongly to earning news announced by inflexible-price firms, consistent with our intuition.

nominal rigidities information frictions public information capital-market efficiency

SSCI

英语

第一

Business & Economics

Business, Finance

WOS:001074654400001

WILEY

ECONOMICS BUSINESS

2-s2.0-85172459191

Web of Science

1.Southern Univ Sci & Technol, Business Sch, Shenzhen, Peoples R China
2.Yeshiva Univ, Sy Syms Sch Business, New York, NY 10033 USA
3.Peking Univ, HSBC Business Sch, Shenzhen, Peoples R China

Gu, Lifeng,Xie, Jin. Price Rigidities and the Value of Public Information[J]. JOURNAL OF ACCOUNTING RESEARCH,2023,62(1):137-179.

Gu, Lifeng,&Xie, Jin.(2023).Price Rigidities and the Value of Public Information.JOURNAL OF ACCOUNTING RESEARCH,62(1),137-179.

Gu, Lifeng,et al."Price Rigidities and the Value of Public Information".JOURNAL OF ACCOUNTING RESEARCH 62.1(2023):137-179.