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The Impact of Disclosure Reform on Information Risk in NZX‐listed Stocks+

The Impact of Disclosure Reform on Information Risk in NZX‐listed Stocks+ This study investigates the impact of the enhanced continuous disclosure regime introduced in December 2002 on several measures of information risk in NZX‐listed stocks. We employ two microstructure models and an intraday data set to measure information risk in a sample of 71 stocks. Our empirical results show that the reforms enacted in December 2002 had no significant effect on either the level of information‐based trading or the adverse selection component of market spreads in our sample of NZX‐listed stocks. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Pacific Accounting Review Emerald Publishing

The Impact of Disclosure Reform on Information Risk in NZX‐listed Stocks+

Pacific Accounting Review , Volume 18 (1): 23 – Mar 1, 2006

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Publisher
Emerald Publishing
Copyright
Copyright © 2006 Emerald Group Publishing Limited. All rights reserved.
ISSN
0114-0582
DOI
10.1108/01140580610818601
Publisher site
See Article on Publisher Site

Abstract

This study investigates the impact of the enhanced continuous disclosure regime introduced in December 2002 on several measures of information risk in NZX‐listed stocks. We employ two microstructure models and an intraday data set to measure information risk in a sample of 71 stocks. Our empirical results show that the reforms enacted in December 2002 had no significant effect on either the level of information‐based trading or the adverse selection component of market spreads in our sample of NZX‐listed stocks.

Journal

Pacific Accounting ReviewEmerald Publishing

Published: Mar 1, 2006

Keywords: New Zealand; Stock markets; Disclosure

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