The impact of increased voluntary disclosure on market information asymmetry, informed trading and uninformed trading

Cheng, Eugene C. M. and Courtenay, Stephen M. and Krishnamurti, Chandrasekhar (2006) The impact of increased voluntary disclosure on market information asymmetry, informed trading and uninformed trading. Journal of Contemporary Accounting and Economics, 2 (1). pp. 33-72. ISSN 1815-5669

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 trading activity.


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Item Type: Article (Commonwealth Reporting Category C)
Refereed: Yes
Item Status: Live Archive
Additional Information: Permanent restricted access to paper due to publisher copyright restrictions.
Depositing User: Professor Chandrasekhar Krishnamurti
Faculty / Department / School: Historic - Faculty of Business - Department of Accounting
Date Deposited: 30 Nov 2011 00:21
Last Modified: 03 Jul 2013 00:54
Uncontrolled Keywords: information asymmetry; share trading; volatility
Fields of Research (FOR2008): 15 Commerce, Management, Tourism and Services > 1502 Banking, Finance and Investment > 150201 Finance
15 Commerce, Management, Tourism and Services > 1502 Banking, Finance and Investment > 150205 Investment and Risk Management
14 Economics > 1402 Applied Economics > 140207 Financial Economics
Socio-Economic Objective (SEO2008): E Expanding Knowledge > 97 Expanding Knowledge > 970115 Expanding Knowledge in Commerce, Management, Tourism and Services
Identification Number or DOI: doi: 10.1016/S1815-5669(10)70016-3
URI: http://eprints.usq.edu.au/id/eprint/20172

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