The impact of disclosure reform on information risk in NZX-listed stocks

Pacific Accounting Review

Volumn 18, Issue 1, 2006, Pages 47-69

  Poskitt, Russell ^a   Yang, Peihong ^a  

^a UNIVERSITY OF AUCKLAND   (New Zealand)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 67349177553     PISSN: 01140582     EISSN: 20415494     Source Type: Journal    
DOI: 10.1108/01140580610818601     Document Type: Article

References (42)

1. Agrawal, A. and S. Chadha (2002). Who is afraid of Reg FD? The behaviour and performance of sell-side analysts following the SEC’s Fair Disclosure rules. Working paper, University of Alabama.
2. Bailey, W., H. Li, C. Mao and R. Zhong (2003). Regulation Fair Disclosure and earnings information: market, analyst and corporate response. Journal of Finance, 58, 2487-2514.
3. Bhattacharya, U. and H. Daouk (2002). The world price of insider trading. Journal of Finance, 57, 75-108.
4. Brockman, P. and D. Y. Chung (2000). Informed and uninformed trading in an electronic, order-driven environment. Financial Review, 35, 125-146.
5. Brown, P., S. L. Taylor and T. S. Walter (1999). The impact of statutory sanctions on the level and information content on voluntary corporate disclosure. Abacus, 35, 138-162.
6. Clarke, J. and K. Shastri (2000). On information asymmetry metrics. Working paper, University of Pittsburgh.
7. Dalziel, L. Securities bill builds confidence. New Zealand Herald, 3 December 2002.
8. Easley, D., N. M. Kiefer and M. O’Hara (1996a). Cream skimming or profit-sharing? The curious role of purchased order flow. Journal of Finance, 51, 811-833.
9. Easley, D., N. M. Kiefer, M. O’Hara and J. B. Paperman (1996b). Liquidity, information, and infrequently traded stocks. Journal of Finance, 51, 1405-1437.
10. Easley, D., M. O’Hara and J. B. Paperman (1998a). Financial analysts and information-based trade. Journal of Financial Markets, 1, 175-201.
11. Easley, D., M. O’Hara and P. S. Srinivas (1998b). Option volume and stock prices: Evidence on where informed traders trade. Journal of Finance, 53, 431-466.
12. Easley, D., M. O’Hara and G. Saar (2001). How stock splits affect trading: a microstructure approach. Journal of Financial and Quantitative Analysis, 36, 25-51.
13. Easley, D., S. Hvidkjaer and M. O’Hara (2002). Is information risk a determinant of asset returns? Journal of Finance, 57, 2185-2221.
14. Eleswarapu, V.R., R. Thompson and K. Venkataraman (2004). The impact of Regulation Fair Disclosure: trading costs and information asymmetry. Journal of Financial and Quantitative Analysis, 39, 209-276.
15. Franks, S. Govt favours obtuse over obvious. New Zealand Herald, 11 June 2002.
16. Gaynor, B. Warning signs disclose problems. New Zealand Herald, 22 February 2003.
17. Grossman, S.J. and J. E. Stiglitz (1980). On the impossibility of informationally efficient markets. American Economic Review, 70, 393-408.
18. Glosten, L. R. and L. E. Harris (1988). Estimating the components of the bid/ask spread. Journal of Financial Economics, 21, 123-142.
19. Healy, P. and K.G. Palepu (2001). Information asymmetry, corporate disclosure, and the capital markets: a review of the empirical disclosure literature. Journal of Accounting and Economics, 31, 405-440.
20. Heflin, F., K. R. Subramanyam and Y. Zhang (2003). Regulation FD and the financial information environment: early evidence. Accounting Review, 78, 1-37.
21. Heidle, H. G. and R. D. Huang (2002). Information-based trading in dealer and auction markets: an analysis of exchange listings. Journal of Financial and Quantitative Analysis, 37, 391-424.
22. Huang, R. D. and H. R. Stoll (1997). The components of the bid-ask spread: a general approach. Review of Financial Studies, 10, 995-1034.
23. Irani, A. and I. Karamanou (2003). Regulation Fair Disclosure, analyst following, and analyst forecast dispersion. Accounting Horizons, 15, 15-29.
24. Kavanagh, L. (2005). Analysing the new role of the Securities Commission. Speech given at Companies and Securities Law Conference, 16 May 2005.
25. Kim, O. (1993). Disagreements among shareholders over a firm’s disclosure policy. Journal of Finance, 48, 747-760.
26. Kim, O. and R. E. Verrecchia (1991). Market reaction to anticipated announcements. Journal of Financial Economics, 30, 273-309.
27. Kim, O. and R. E. Verrecchia (1994). Market liquidity and volume around earnings announcements. Journal of Accounting and Economics, 17, 41-67.
28. Lin, J., G. Sanger and G. G. Booth (1995). Trade size and components of the bid-ask spread. Review of Financial Studies, 8, 1153-1183.
29. Madhavan, A., M. Richardson and M. Roomans (1997). Why do security prices change? A transaction-level analysis of NYSE stocks. Review of Financial Studies, 10, 1035-1064.
30. McLaughlin, F. and R. Wallis (2002). Securities Market Update. New Zealand Law Society. Wellington.
31. New Zealand Government (2002). Securities and Markets and Institutions Bill. Wellington.
32. New Zealand Exchange (2005). Guidance Note - Continuous Disclosure. Wellington.
33. O’Hara, M. (1993). Market Microstructure, Blackwell, Oxford.
34. Pankhurst, P. Securities law shake-up, not an earthquake. New Zealand Herald, 2 December 2002.
35. Pirrong, C. (2002). A growing market. Regulation, 25, 30-37.
36. Securities Commission (2002). Strengthening Confidence in New Zealand’s Capital Markets. Wellington.
37. Securities Industry Association (2001). Costs and Benefits of Regulation Fair Disclosure.
38. Shane, P., N. Soderstrom and S. W. Yoon (2001). Earnings and price discovery in the post Reg FD environment: a preliminary analysis. Working paper, University of Colorado.
39. Stoll, H.R. (1989). Inferring the components of the bid-ask spread: theory and empirical tests. Journal of Finance, 44, 115-134.
40. Štraser, V. (2002). The impact of Regulation Fair Disclosure on information asymmetry. Working paper, University of Notre Dame.
41. Topaloglu, S. (2002). An examination of institutional trading activity before and after Regulation Fair Disclosure. Working paper, Arizona State University.
42. Van Ness, B. F., R. A. Van Ness and R. S. Warr (2001). How well do adverse selection components measure adverse selection? Financial Management, 30, 77-98.