NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Shaping Liquidity: On the Causal Effects of Voluntary Disclosure

Karthik Balakrishnan, Mary B. Billings, Bryan T. Kelly, Alexander Ljungqvist

NBER Working Paper No. 18984
Issued in April 2013

---- Acknowledgements -----

We thank Yakov Amihud, Douglas Diamond, Joseph Gerakos, Lawrence Glosten (our Five Star discussant), Charles Jones (our WFA discussant), Christian Leuz (our Utah discussant), Amir Sufi, Margarita Tsoutsoura, Ro Verrecchia, and various seminar audiences for helpful suggestions. We are grateful to Ruslan Goyenko for sharing his code to generate the effective tick measure from Goyenko et al. (2009) and to Stephen Brown for sharing his PIN data. Balakrishnan gratefully acknowledges funding from the Dean’s Research Fund at Wharton. Ljungqvist gratefully acknowledges the generous hospitality of the European Central Bank while working on this project. The views expressed in this paper do not necessarily reflect those of the ECB, the Eurosystem, or the National Bureau of Economic Research.

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