Effects of continuous and voluntary disclosures on information asymmetry - Evidence from the financial crisis

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dc.contributor Aalto University en
dc.contributor Aalto-yliopisto fi
dc.contributor.author Hanni, Sofia
dc.date.accessioned 2011-11-14T11:23:29Z
dc.date.available 2011-11-14T11:23:29Z
dc.date.issued 2010
dc.identifier.uri https://aaltodoc.aalto.fi/handle/123456789/417
dc.description.abstract Purpose of the study I study the effect of continuous and voluntary disclosure levels on bid-ask spreads, share liquidity and analyst forecast dispersion, three measures indicating the level of information asymmetry in the securities markets, in the framework of the financial crisis in 2008. I aim at examining: 1. Which firm and market characteristics explain continuous and especially voluntary disclosure levels of a public company? 2. Do high continuous and voluntary disclosure levels reduce information asymmetry in the securities markets? My paper adds to the small body of research on continuous and voluntary disclosure, where I see disclosure as an integral part of strategic Investor Relations. Previous research has mainly focused on disclosure levels’ relations with share behaviour using annual reports and other regulatory disclosure as proxies. Continuous and voluntary disclosure is yet to be studied in more detail, especially in crisis situations. Empirical study and data To measure information asymmetry, I use bid-ask spreads, share liquidity and standard deviations of analyst forecasts for all firms listed in Nasdaq OMX Helsinki Stock Exchange in 2007-2008. I use stock exchange releases from this period as a proxy for continuous and voluntary disclosure levels. First, I explain these levels using an OLS regression analysis. Second, I look for evidence for a negative relation of continuous and voluntary disclosure with information asymmetry. I use an IV regression as a method for analysing the aforementioned relations where endogenous disclosure variables are instrumented by relevant firm and market variables. Main results I find firm size, growth, complexity and private debt to explain continuous disclosure and firm size, profitability, private debt, appreciation of IR and experience from the securities markets to explain voluntary disclosure. I use these variables as instruments for the disclosure levels in the IV regressions and gain both supporting and contrary evidence to hypotheses that continuous and voluntary disclosures reduce information asymmetry. Continuous disclosure narrows bid-ask spreads, both disclosure measures increase share liquidity but neither succeeds in decreasing the dispersion of analyst forecasts. Disclosure is not evidenced to play a greater role in the financial crisis. en
dc.format.extent 99
dc.format.mimetype application/pdf en
dc.language.iso en en
dc.title Effects of continuous and voluntary disclosures on information asymmetry - Evidence from the financial crisis en
dc.type G2 Pro gradu, diplomityö fi
dc.contributor.school Kauppakorkeakoulu fi
dc.contributor.school School of Economics en
dc.contributor.department Department of Accounting and Finance en
dc.contributor.department Laskentatoimen ja rahoituksen laitos fi
dc.subject.keyword analyst forecast
dc.subject.keyword bid-ask spread
dc.subject.keyword continuous disclosure
dc.subject.keyword financial crisis
dc.subject.keyword information asymmetry
dc.subject.keyword Instrumental Variable regression
dc.subject.keyword Investor Relations
dc.subject.keyword IR
dc.subject.keyword liquidity
dc.subject.keyword OLS regression
dc.subject.keyword voluntary disclosure
dc.identifier.urn URN:NBN:fi:aalto-201111181329
dc.type.dcmitype text en
dc.programme.major Accounting en
dc.programme.major Laskentatoimi fi
dc.type.ontasot Master's thesis en
dc.type.ontasot Pro gradu tutkielma fi
dc.subject.helecon laskentatoimi
dc.subject.helecon accounting
dc.subject.helecon osakkeet
dc.subject.helecon shares
dc.subject.helecon ennusteet
dc.subject.helecon forecasts
dc.subject.helecon yritysviestintä
dc.subject.helecon business communication
dc.subject.helecon talouskriisi
dc.subject.helecon economic crisis
dc.ethesisid 12285
dc.date.dateaccepted 0010-05-12
dc.location P1 I


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