Is News Really News: The Effects of Selective Disclosure Regulations

42 Pages Posted: 4 Feb 2020 Last revised: 2 May 2022

See all articles by Brent Kitchens

Brent Kitchens

University of Virginia - McIntire School of Commerce

Robert Parham

University of Virginia - McIntire School of Commerce

Chris Yung

University of Virginia - McIntire School of Commerce

Date Written: January 1, 2020

Abstract

Before legislation enacted to prevent such practices, information leaked via selective disclosure incorporated into market prices 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 also document lack of such changes in Australia and Japan, which did not implement similar legal measures. We show the changes are not limited to news days, but rather have market-wide impact on return volatility.

Keywords: News, Media, Information, Price efficiency

JEL Classification: G14, G15, G18

Suggested Citation

Kitchens, Brent and Parham, Robert and Yung, Chris, Is News Really News: The Effects of Selective Disclosure Regulations (January 1, 2020). Available at SSRN: https://ssrn.com/abstract=3517521 or http://dx.doi.org/10.2139/ssrn.3517521

Brent Kitchens

University of Virginia - McIntire School of Commerce ( email )

P.O. Box 400173
Charlottesville, VA 22904-4173
United States

Robert Parham (Contact Author)

University of Virginia - McIntire School of Commerce ( email )

1400 University Ave
Charlottesville, VA 22903
United States

HOME PAGE: http://kn.owled.ge

Chris Yung

University of Virginia - McIntire School of Commerce ( email )

P.O. Box 400173
Charlottesville, VA 22904-4173
United States
434-242-0836 (Phone)

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