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

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