Closing auction volume steadily increased over the last decade and it reached a peak of about 10% of the total trading volume in 2019. We examine the price impact and resiliency of closing auctions, and we compare closing auction liquidity in the Nasdaq and the NYSE. The NYSE offers more depth....

We empirically examine on-exchange hidden liquidity in the context of informed trading, pricing efficiency, and trading costs. Using a number of proxies for informativeness and a number of different specifications, we find that when an on-exchange option to hide orders exists, traders prefer to...

When there is strategic complementarity and all agents have access to public information, but only a subset of them has access to private information, strategic complementarity within the subset of privately-informed agents enhances the focal power of public information. This results to an...

This paper examines the informativeness of earnings announcements, by focusing on the role of event windows within which the information content is measured. This focus on event windows is primarily motivated by recent trends towards the announcement of earnings during after-market hours. It is...

Our study addresses whether integrated report quality, IRQ, is positively associated with greater price informativeness and the extent to which the greater price informativeness is diminished when firms have higher proprietary costs of disclosure. In integrated reports, firms integrate financial...

We examine the properties of the ASA-NBER forecasts for several US macroeconomic variables, specifically: (i) are the actual and forecast series integrated of the same order; (ii) are they cointegrated, and; (iii) is the cointegrating vector consistent with long run unitary elasticity of...

Customer surveys rely on structured questions used to reflect on reality. Surveys, in general, rely on sample observations derived from a population frame that can be statistically analyzed. Eventually, a survey is judged by the quality of the information it provides. The paper discusses how to...

The information created and disseminated through the litigation process can have social value. Suppose a long-lived plaintiff is suing a defendant for damages sustained in an accident. The plaintiff may suffer similar damages in future accidents involving different defendants. Potential injurers...

Research question: This study investigates whether the release of financial accounting information is related to the change in stock prices.Motivation: The relationship between accounting information and stock price reaction is well documented in the United States and other major developed...

Standard setters have expressed concern over the impact of complex accounting standards on the information gap between firm insiders and financial statement users. We address this issue by examining the relationship between accounting reporting complexity (ARC) and the market response to...

This paper introduces a comprehensive database of informal economic activity. The database focuses on measures that have strong cross-country and over time coverage: it includes both model-based and survey-based measures of informality and covers more than 160 economies for the period 1990-2018....

This paper introduces a comprehensive database of informal economic activity. The database focuses on measures that have strong cross-country and over time coverage: it includes both model-based and survey-based measures of informality and covers more than 160 economies for the period 1990-2018....

Using a method that avoids the need to specify earnings expectations (Ball and Shivakumar 2008), we demonstrate that the period surrounding the semi-annual announcement of Australian firms’ earnings is, on average, an important source of information. Although there is substantial year-to-year...

The value relevance of accounting information is an important area in accounting researches. However the literature provides contradictory conclusions on the value relevance of accounting information in different stock exchanges and there is a very limited knowledge in this regard in Sri Lankan...

This paper studies the welfare effects of the relative price variability arising from inflation. When agents interact in anonymous markets, with customers buying from new suppliers each period, relative price variability benefits customers and cannot harm suppliers substantially. But if...

This paper studies how partial information regarding the true number of infected affects optimal mitigation and testing policies during the COVID-19 pandemic. We start by documenting two motivating observations which highlight the value of information: First, an overreaction in mitigation at the...

This paper examines two attributes of earnings press releases issued by firms cross-listed on U.S. stock exchanges: the tone and frequency of forward-looking statements. A more conservative tone and a greater proportion of forward-looking statements are often viewed as contributing to more...

Agents are generally uncertain about multiple, and possibly time-varying, structural parameters that drive consumption and financial payoffs but learn through noisy correlated signals, such as aggregate or macroeconomic news. We find that dynamic learning of multivariate time-varying parameters...

Information security necessitates the implementation of safeguards to guarantee an adequate defense against attacks, threats, and breaches from occurring. Nonetheless, even with “adequate” defensive efforts, the taste for accessing sensitive and confidential financial information is too...

This paper examines the relevance of entropy to economic analysis via informational separability, whereby suppressing information that differentiates a subset of states in each experiment reduces information in that experiment, relative to an uncertainty measure. I show that with three or more...

In this research I empirically study the effects of information acquisition by investors or traders on analysts' forecast bias. Based on the theoretical literature on sell-side analysts, I argue that forecast bias is correlated to investors' information gathering, in two opposite directions. On...

In this paper, we estimate the benefits to countries that purchase goods from China of having access to intermediary services provided by Hong Kong. Traders in Hong Kong supply information on markets and producers in China, which provides welfare gains to foreign firms using these services....

Firms are facing progressively more stringent tax disclosure requirements. In this paper, we examine whether increased qualitative tax transparency leads to intended outcomes using, as an exogenous shock, the 2016 UK reform that mandated the disclosure of a tax strategy for arms above a certain...

We study the relative usefulness of earnings announcements for valuation from the perspective of information externalities–the use of peer information in IPO pricing. The relative usefulness of an information source for peer valuation is a function of both the amount and the per-unit...

This study explores the relationship between audit committee characteristics and accounting information quality by justifying the role of the internal information environment and political connections under the theocracy state of Iran with syncretic politics. Using panel data of 558 firms from...

We estimate a Bayesian learning model in order to assess the value of health plan performance information and the extent to which the explicit provision of information about product quality alters consumer behavior. We take advantage of a natural experiment in which health plan performance...

We use data on the enrollment decisions of federal annuitants to estimate the influence of publicizedratings on health plan choice. We focus on the impact of ratings disseminated by the NationalCommittee for Quality Assurance (NCQA), and use our estimates to calculate the value of...

Using intraday 2015-2019 short sale data from CBOE and FINRA, we examine the intraday time patterns and information content of on-exchange and off-exchange shorting. Midday short sales and those near the open strongly and negatively predict the cross-section of stock returns at daily horizons...

By introducing the implementation of the Key Audit Matters (KAM) Disclosure Standards for China’s companies cross-listed in Hong Kong in 2017, we present evidence that KAM disclosure reduces analysts’ company visits, which is an important channel of information acquisition. The decreasing...

Theoretical research argues that numbers convey more precise information than words. Based on this work, we hypothesize that when managers provide disclosure with a greater proportion of quantitative information, information risk will decrease and firm value will increase. We offer three main...

This paper studies the effects of the mandatory implementation of a more informative disclosure regime on firms’ financial constraints and investment policies. I run a difference-in-difference analysis and find that firms moving from a voluntary use of the regime to a mandatory use increase...

We study the optimal precision of public information disclosures about banks assets quality. In our model the precision of information affects banks' cost of raising funding and asset profile riskiness. In an imperfectly competitive banking sector, banks'stability and social surplus are...

Purpose – The purpose of this paper is to highlight the role of the information content of cash flows and accounting earnings in explaining changes in the Egyptian stock market activity.Design/methodology/approach – The paper uses multiple regression models. The sample used in the current...

Monetary policy shocks that convey new macroeconomic information are significant predictors of both the absolute and risk-adjusted returns from value investing. Positive Fed information shocks lead to higher subsequent value returns. Crashes in the returns of value investing are most likely to...

Firms are facing progressively more stringent tax disclosure requirements. In this paper, we examine whether increased qualitative tax transparency leads to intended outcomes using, as an exogenous shock, the 2016 UK reform that mandated the disclosure of a tax strategy for firms above a certain...

Pre-open auctions have been widely implemented across trading exchanges. Pre-open auctions tend to reduce information asymmetry and trading risks. Call auctions have been encouraged to enhance price discovery. This paper explores the shifts in information content of the pre-market auction...

Firms are facing progressively more stringent tax disclosure requirements. In this paper, we examine whether increased qualitative tax transparency leads to intended outcomes using, as an exogenous shock, the 2016 UK reform that mandated the disclosure of a tax strategy for firms above a certain...

We consider two vertical links between informal- and formal-sector firms and study their implications. In one case, the final products produced by the formal- and informal-sector firms are vertically differentiated in terms of quality, and the size of the informal sector demand is related to the...

Firms are facing progressively more stringent tax disclosure requirements. In this paper, we examine whether increased qualitative tax transparency leads to intended outcomes using, as an exogenous shock, the 2016 UK reform that mandated the disclosure of a tax strategy for firms above a certain...

We study the design of contracts that incentivize experts to collect information and truthfully report it to a decision maker. We depart from most of the previous literature by assuming that the transfers cannot depend on the realized state or on the ex post payoff of the decision maker. The...

E-commerce and FinTech are currently booming in China. The growing consumer market is accompanied by internet finance, by which consumers can easily borrow money from financial institutions online. As a result, the growing risks of financial institutions are of concern to the government and...