We document significant increases in bond market liquidity around earnings announcements. These increases are attributed to decreased search and bargaining costs, which arise from the over-the-counter (OTC) nature of bond markets and outweigh increases in information asymmetry during these periods. Our evidence traces reductions in search and bargaining costs to two sources around earnings announcements: (1) improved access to dealers and (2) increased participation from institutional investors, who can more easily transact with multiple dealers. Overall, our findings highlight a novel channel through which firm-specific information affects asset prices.

中文翻译：

---

收益新闻和场外市场

我们记录了盈利公告前后债券市场流动性的显着增加。这些增长归因于搜索和讨价还价成本的降低，而搜索和讨价还价成本的降低源于债券市场的场外交易（OTC）性质，并且超过了这些时期信息不对称的增加。我们的证据将搜索和讨价还价成本的降低归因于盈利公告的两个来源：（1）改善了与交易商的接触机会；（2）机构投资者的参与增加，他们可以更轻松地与多个交易商进行交易。总体而言，我们的研究结果凸显了公司特定信息影响资产价格的新渠道。