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
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Identification Number or DOI: doi: 10.1016/S1815-5669(10)70016-3
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.
| Item Type: | Article (Commonwealth Reporting Category C) |
|---|---|
| Additional Information: | Permanent restricted access to paper due to publisher copyright restrictions. |
| 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 |
| Subjects: | UNSPECIFIED |
| Socio-Economic Objective (SEO2008): | E Expanding Knowledge > 97 Expanding Knowledge > 970115 Expanding Knowledge in Commerce, Management, Tourism and Services |
| ID Code: | 20172 |
| Deposited By: | |
| Deposited On: | 30 Nov 2011 10:21 |
| Last Modified: | 23 Jan 2012 16:54 |
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