{"title":"Is News Really News: The Effects of Selective Disclosure Regulations","authors":"Brent Kitchens, Robert Parham, Chris Yung","doi":"10.1093/rof/rfae030","DOIUrl":null,"url":null,"abstract":"Before regulation enacted to prevent such practices, information leaked via selective disclosure incorporated into markets prior to public release of news. “News days” did not deliver news to the market. Now they do. We provide novel evidence of changes in returns & turnover behavior around the enactment of regulation barring selective disclosure practices in the US and in the EU. We conversely document lack of such changes in Australia and Japan, which did not implement similar measures. We conclude selective disclosure resolves Roll’s R2 puzzle.","PeriodicalId":48036,"journal":{"name":"Review of Finance","volume":null,"pages":null},"PeriodicalIF":5.6000,"publicationDate":"2024-09-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Review of Finance","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1093/rof/rfae030","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
Before regulation enacted to prevent such practices, information leaked via selective disclosure incorporated into markets prior to public release of news. “News days” did not deliver news to the market. Now they do. We provide novel evidence of changes in returns & turnover behavior around the enactment of regulation barring selective disclosure practices in the US and in the EU. We conversely document lack of such changes in Australia and Japan, which did not implement similar measures. We conclude selective disclosure resolves Roll’s R2 puzzle.
期刊介绍：
The Review of Finance, the official journal of the European Finance Association, aims at a wide circulation and visibility in the finance profession. The journal publishes high-quality papers in all areas of financial economics, both established and newly developing fields: • •Asset pricing •Corporate finance •Banking and market microstructure •Law and finance •Behavioral finance •Experimental finance Review of Finance occasionally publishes special issues on timely topics, including selected papers presented at the meetings of the European Finance Association or at other selected conferences in the field.
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