What Happens to Trading Volume When the Regulator Bans Voluntary Disclosure?

Menachem Abudy, Efrat Shust

نتاج البحث: نشر في مجلةمقالةمراجعة النظراء


This paper exploits a unique natural experiment in which a regulator limited voluntary disclosure of oil and gas firms. We examine the implications of this disclosure rule on unexplained trading volume and market liquidity. Relying on the theoretical framework of Kim and Verrecchia ([1994]. Market liquidity and volume around earnings announcements. Journal of Accounting and Economics, 17(1–2), 41–67), the analysis assumes that the rule is an exogenous shock that increased the precision of disclosed information. Based on a sample of current filings, we find indications that on average, after the new regulation came into effect, filings of oil and gas firms generated less unexplained trading volume than they had prior to the regulation. A possible interpretation of these findings is a decline in investor disagreement following the rule. We also find that liquidity around current filings of oil and gas firms increased following the disclosure rule. Moreover, some results indicate that differences in unexplained trading volume associated with the characteristics of the filing firm or of the filing itself prior to the rule were moderated after it came into effect.

اللغة الأصليةالإنجليزيّة
الصفحات (من إلى)555-580
عدد الصفحات26
دوريةEuropean Accounting Review
مستوى الصوت29
رقم الإصدار3
المعرِّفات الرقمية للأشياء
حالة النشرنُشِر - 26 مايو 2020

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© 2019, © 2019 European Accounting Association.


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