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Review of Accounting Studies
Erschienen in: Review of Accounting Studies 2-3/2007

01.09.2007

Discussion of “How disclosure quality affects the level of information asymmetry”

verfasst von: Yonca Ertimur

Erschienen in: Review of Accounting Studies | Ausgabe 2-3/2007

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Abstract

Brown and Hillegeist (2007) examine how disclosure quality relates to information asymmetry. Specifically, the authors show that the negative association between the overall quality of a firm’s disclosures and the average level of information asymmetry is primarily driven by the negative association between disclosure quality and the frequency of information events. My discussion focuses on issues surrounding proxies for information asymmetry and disclosure quality the authors use. I also suggest some venues for future research.
Vorheriger Artikel How disclosure quality affects the level of information asymmetry

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Fußnoten
1
See, for example, Brown, Hillegeist, and Lo (2004, 2006), Botosan and Plumlee (2004), and LaFond and Watts (2006).
 
2
Figure 1 in Easley, Hvidkjaer and O’Hara (2002) summarizes the underlying trading process that generates this summary proxy for asymmetric information. Figure 2 in BH is an extension of this figure.
 
3
δ is the probability of a bad news signal. This parameter does not enter the PIN equation.
 
4
Stoll (1989) estimates adverse information costs to be 43% of the quoted proportional spread of the stock. George et al. (1991) argue it to be 8–13% of the quoted spread, at least for small trades. Huang and Stoll (1997) show the average adverse information component to be 9.6% for 19 large and actively traded stocks in 1992.
 
Literatur
Botosan, C. A., & Plumlee, M. A. (2004). Are Information Attributes Priced? University of Utah Working Paper.
Brown, S., & Hillegeist, S. A. (2007). How disclosure quality affects the level of information asymmetry. Review of Accounting Studies, 12(2/3).
Brown, S., Hillegeist, S. A., & Lo, K. (2004). Conference calls and information asymmetry. Journal of Accounting & Economics, 37, 343–366.CrossRef
Brown, S., Hillegeist, S., & Lo, K. (2006). The Effect of Meeting or Missing Earnings Expectations of Information Asymmetry. University of British Columbia Working Paper.
Core, J. E. (2001). A review of the empirical disclosure literature. Journal of Accounting & Economics, 31, 441–456.CrossRef
Diamond, D. W. (1985). Optimal release of information by firms. Journal of Finance, 40, 828–862.CrossRef
Easley, D., Hvidkjaer, S., & O’Hara, M. (2002). Is information risk a determinant of asset returns? Journal of Finance, 57, 2185–2221.CrossRef
Easley, D., Kiefer, N. M., & O’Hara, M. (1997). One day in the life of a very common stock. Review of Financial Studies, 10, 805–835.CrossRef
Easley, D., O’Hara, M., & Paperman, J. B. (1998). Financial analysts and information-based trade. Journal of Financial Markets, 1, 175–201.CrossRef
Fishman, M. J., & Hagerty, K. M. (1989). Disclosure decisions by firms and the competition for price efficiency. Journal of Finance, 44, 633–646.CrossRef
George, T. J., Kaul, G., & Nimalendran, L. (1991). Estimation of the bid-ask spread and its components: A new approach. Review of Financial Studies, 4, 623–656.CrossRef
Healy, P., Hutton, A., & Palepu, K. (1999). Stock performance and intermediation changes surrounding sustained increases in disclosures. Contemporary Accounting Research, 16, 485–520.CrossRef
Huang, R., & Stoll, H. (1997). The components of the bid-ask spread: A general approach. Review of Financial Studies, 10, 995–1034.CrossRef
LaFond, R., & Watts, R. L. (2006). The Information Role of Conservative Financial Statements. MIT Working Paper.
Leuz, C., & Verrecchia, R. (2000). The economic consequences of increased disclosure. Journal of Accounting Research, 38, 91–124.CrossRef
Merton, R. C. (1987). A simple model of capital market equilibrium with incomplete information. Journal of Finance, 42, 483–510.CrossRef
Stoll, H. R. (1989). Inferring the components of the bid-ask spread: Theory and empirical tests. The Journal of Finance, 44, 115–134.CrossRef
Venter, J. H., & de Jongh, D. (2004). Extending the Ekop Model to Estimate the Probability of Informed Trading. Proceedings of First African Finance Conference.
Verrecchia, R. E. (1982). The use of mathematical models in financial accounting/discussions. Journal of Accounting Research, 20, 55.CrossRef
Welker, M. (1995). Disclosure policy, information asymmetry, and liquidity in equity markets. Contemporary Accounting Research, 11, 801–827.
Metadaten
Titel
Discussion of “How disclosure quality affects the level of information asymmetry”
verfasst von
Yonca Ertimur
Publikationsdatum
01.09.2007
Erschienen in
Review of Accounting Studies / Ausgabe 2-3/2007
Print ISSN: 1380-6653
Elektronische ISSN: 1573-7136
DOI
https://doi.org/10.1007/s11142-007-9028-1

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