主题：Periodic Disclosure of Asset-Backed Securities and Bond Trading

　　主讲人：Haiwen Zhang ，associate professor of University of Minnesota

　　时间：6月21日（周五）上午9:30

　　地点：A208

　　主办单位：best365网页版登录会计系，best365网页版登录财务与会计研究所

　　主讲人简介：

　　Haiwen Zhang is the Associate Professor and PhD Program Coordinator at the Carlson School of Management, University of Minnesota. She served as Associate Professor of Accounting at the Ohio State University and Visiting Financial Economist at the U.S. Securities and Exchange Commission (SEC). She has publications at top Accounting journals including JAE, TAR, RAS and CAR.

　　讲座主要内容：

　　Transparency and liquidity are important issues in the market of complex structured products. In this paper, we provide large-sample evidence on whether investors in the U.S. secondary market of asset-backed securities respond to periodic disclosures mandated by the SEC and whether loan-level disclosure improves market liquidity. We first document that investors increase trading around monthly 10-D filings even for AAA-rated instruments and that this response is stronger for instruments with disaggregated loan-level disclosures. However, in contrast to the equity market finding that more information improves long-term liquidity, we find significant reduction in trading volume for ABS instruments subject to the new loan-level disclosure requirement, especially for retail trades. Overall, our results highlight that ABS are not perceived to be the “safe asset” immune to information gathering during our sample period and that mandatory loan-level disclosure may exacerbate information asymmetry for complex financial instruments.

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