Effects of Frequent Information Disclosure: The Case of Daily Net Asset Value Reporting for Closed-end Investment Companies
There are two hypotheses regarding the effects of increased financial disclosure. The more obvious and generally supported hypothesis states that increased disclosure leads to decreased information asymmetry and more efficient pricing resulting in reduced spreads and volatility. The other says that increased disclosure places additional burdens on traders leading to increased transactions costs and volatility. This paper examines the effects of more-frequent reporting for the case of closed-end funds that changed their netasset- value reporting from weekly to daily beginning in 1998. Univariate statistics show that increased bid-ask spreads accompany the change to daily reporting. Multivariate analyses indicate an increase in asymmetric information following initiation of daily reporting as evidenced by higher spreads and reduced transactions volume. We conclude that closed-end fund daily net-asset-value reporting provides an example of information disclosure creating information asymmetry.
Gary McCormick Dan W. French
Department of FIREL,College of Business,University of North Texas,Box 305339,Denton,TX 76203 Department Chair,403B Cornell Hall,University of Missouri,Columbia,MO 65211
国际会议
大连
英文
1-50
2008-07-02（万方平台首次上网日期，不代表论文的发表时间）