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Financial Disclosure and Speculative Bubbles: An International Comparison

37 Pages Posted: 5 Jun 2002  

Benjamas Jirasakuldech

University of the Pacific (UOP) - Eberhardt School of Business

Thomas S. Zorn

University of Nebraska at Lincoln - Department of Finance

Date Written: May 10, 2002

Abstract

The paper examines if a country's financial disclosure system affects the likelihood of speculative bubbles. We compare stock returns of eight countries that differ in the quality of their disclosure systems as ranked by Saudagaran and Biddle (1992). We examine the hypothesis that stock prices of firms in countries with a low level of financial disclosure are more prone to speculative bubbles. We employ the duration dependence model developed by McQueen and Thorley (1994) to test for the presence of bubbles. We found that returns in Japan, a country with a relatively low level of disclosure, shows evidence of a bubble.

Keywords: Financial Disclosure, Speculative Bubbles, Duration Dependence, International Comparison

Suggested Citation

Jirasakuldech, Benjamas and Zorn, Thomas S., Financial Disclosure and Speculative Bubbles: An International Comparison (May 10, 2002). Available at SSRN: https://ssrn.com/abstract=312009 or http://dx.doi.org/10.2139/ssrn.312009

Benjamas Jirasakuldech

University of the Pacific (UOP) - Eberhardt School of Business ( email )

3601 Pacific Avenue
Stockton, CA 95211
United States
209-946-2176 (Phone)
209-946-2586 (Fax)

Thomas S. Zorn (Contact Author)

University of Nebraska at Lincoln - Department of Finance ( email )

231 CBA
Lincoln, NE 68588-0490
United States
(402) 472-6049 (Phone)

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