Effects of frequent information disclosure: the case of daily net asset value reporting for closed-end investment companies

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• 作者：Gary McCormick ; Dan W. French
• 关键词：Closed ; end funds ; Disclosure ; Information asymmetry
• 刊名：Review of Quantitative Finance and Accounting
• 出版年：2016
• 出版时间：January 2016
• 年：2016
• 卷：46
• 期：1
• 页码：107-122
• 全文大小：400 KB
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• 作者单位：Gary McCormick (1)
  Dan W. French (2)
  
  1. University of Missouri, 512 Cornell Hall, Columbia, MO, 65211, USA
  2. Department of Finance, University of Missouri, 403B Cornell Hall, Columbia, MO, 65211, USA
  
• 刊物类别：Business and Economics
• 刊物主题：Economics
  Finance and Banking
  Accounting and Auditing
  Econometrics
  Operation Research and Decision Theory
  
• 出版者：Springer Netherlands
• ISSN：1573-7179

文摘

There are two competing hypotheses regarding the effects of increased financial disclosure. One states that increased disclosure leads to decreased information asymmetry and more efficient pricing resulting in reduced bid-ask spreads, volatility and illiquidity. 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 voluntarily changed their net-asset-value reporting from weekly to daily beginning in 1998. Multivariate analyses indicate a decrease in asymmetric information following initiation of daily reporting as evidenced by lower spreads, greater transactions volume, reduced volatility and decreased illiquidity. We conclude that closed-end fund daily net-asset-value reporting provides an example of information disclosure that provides useful information to investors and reduces information asymmetry.