The impact of increased voluntary disclosure on market information asymmetry, informed trading and uninformed trading
Article
Article Title | The impact of increased voluntary disclosure on market information asymmetry, informed trading and uninformed trading |
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ERA Journal ID | 18570 |
Article Category | Article |
Authors | Cheng, Eugene C. M. (Author), Courtenay, Stephen M. (Author) and Krishnamurti, Chandrasekhar (Author) |
Journal Title | Journal of Contemporary Accounting and Economics |
Journal Citation | 2 (1), pp. 33-72 |
Number of Pages | 40 |
Year | 2006 |
Publisher | Elsevier |
Place of Publication | Netherlands |
ISSN | 1815-5669 |
Digital Object Identifier (DOI) | https://doi.org/10.1016/S1815-5669(10)70016-3 |
Web Address (URL) | http://www.sciencedirect.com/science?_ob=MiamiImageURL&_cid=278659&_user=1472215&_pii=S1815566910700163&_check=y&_origin=search&_coverDate=30-Jun-2006&view=c&wchp=dGLzVlB-zSkWA&md5=d0cb0c0eb4348633f7e410ba3e70d5f8/1-s2.0-S1815566910700163-main.pdf |
Abstract | We document a negative relation between voluntary disclosure and proxies of information asymmetry, showing that transitory voluntary disclosure matters. Informed and uninformed trading factors are isolated from the variability of the proxies. Our analysis demonstrates that higher levels of informed trading increase bid-ask spreads, trading volume and price volatility whereas higher levels of uninformed trading reduce spreads and increase trading volume. The results suggest that while increased voluntary disclosure reduces adverse selection and lowers the level of informed trading, transaction cost and risk, average trading volume may lessen due to diminished informed |
Keywords | information asymmetry; share trading; volatility |
ANZSRC Field of Research 2020 | 350202. Finance |
350208. Investment and risk management | |
380107. Financial economics | |
Public Notes | Files associated with this item cannot be displayed due to copyright restrictions. |
Byline Affiliations | Citigroup, United States |
Labraway Associates, United States | |
Monash University | |
Institution of Origin | University of Southern Queensland |
https://research.usq.edu.au/item/q1000/the-impact-of-increased-voluntary-disclosure-on-market-information-asymmetry-informed-trading-and-uninformed-trading
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