Is News Really News: The Effects of Selective Disclosure Regulations
42 Pages Posted: 4 Feb 2020 Last revised: 2 May 2022
Date Written: January 1, 2020
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: Suggested Citation