The Impact of Enhanced Information Flows Across Firms: Cross-Sectional Evidence From the EDGAR Roll-Out

Posted: 3 Feb 2021

See all articles by Abhay Abhyankar

Abhay Abhyankar

MOVE,Departament d'Economia i d'Història Econòmica, Universitat Autònoma de Barcelona

yaning wang

University of Exeter Business School - Department of Finance

Date Written: November 30, 2020

Abstract

We exploit the quasi-natural experiment created by the roll-out of the EDGAR system to study the causal impact of the additional flow of stock-specific information on firms. We find that this information flow to investors resulted in statistically significant and economically essential changes in illiquidity and trading volume but not in idiosyncratic volatility. Across firms, illiquidity fell for smallest firms more than it did for the largest firms. Across industry groups, the mining and manufacturing sectors have the largest decreases illiquidity and increases in trading volume.

Keywords: EDGAR, information flow, liquidity, volume, volatility.

JEL Classification: G1, G10, G12, G14

Suggested Citation

Abhyankar, Abhay and wang, yaning, The Impact of Enhanced Information Flows Across Firms: Cross-Sectional Evidence From the EDGAR Roll-Out (November 30, 2020). Available at SSRN: https://ssrn.com/abstract=3739798

Abhay Abhyankar

MOVE,Departament d'Economia i d'Història Econòmica, Universitat Autònoma de Barcelona ( email )

Campus de Bellaterra-UAB Edifici B
Cerdanyola del Vallès
Barcelona, Catalunya 08193
Spain

HOME PAGE: http://https://www.movebarcelona.eu/index.php/people/alphabetical-directory

Yaning Wang (Contact Author)

University of Exeter Business School - Department of Finance ( email )

Streatham Court
Exeter, EX4 4PU
United Kingdom

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