Is News Really News: The Effects of Selective Disclosure Regulations
48 Pages Posted: 4 Feb 2020 Last revised: 20 Jul 2021
Date Written: January 1, 2020
Before legislation enacted to prevent such practices, information leaked via selective disclosure could be 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 and turnover behavior around the passage of legislation barring selective disclosure practices in the US and in the EU, and document lack of such changes in Australia and Japan, which did not implement similar legal measures. We conduct extensive cross-sectional tests and document relations between a-priori likelihood of selective disclosure and market response to news release.
Keywords: News, Media, Information, Price efficiency
JEL Classification: G14, G15, G18
Suggested Citation: Suggested Citation