Frequency of and Responses to Voluntarily Disclosed Earnings on Floor- and Screen-Based Markets

44 Pages Posted: 16 Mar 2006

See all articles by Laura Frieder

Laura Frieder

Purdue University - Krannert School of Management

Inho Suk

State University of New York (SUNY) at Buffalo - School of Management

Date Written: March 13, 2006

Abstract

We investigate whether managers' decisions to voluntarily disclose earnings information are related to the type of exchange on which their firm's equity is listed: a floor-based auction market (NYSE) or a screen-based dealer market (NASDAQ). We analyze how markets react to voluntarily disclosed earnings on each type of exchange. After controlling for postulated determinants of voluntary disclosure and exchange listing, we find that firms traded on floor-based auction markets are more likely to disclose earnings. We also uncover evidence that firms listed on floor-based markets face higher price responses to unexpected earnings information. These results are robust to including firms that have changed their listing (i.e., from NASDAQ to NYSE) and to controlling for the effect of Regulation FD implemented by the SEC in 2000.

Keywords: Voluntary disclosure, Liquidity, Microstructure, Exchange

JEL Classification: G14

Suggested Citation

Frieder, Laura and Suk, Inho, Frequency of and Responses to Voluntarily Disclosed Earnings on Floor- and Screen-Based Markets (March 13, 2006). Available at SSRN: https://ssrn.com/abstract=890423 or http://dx.doi.org/10.2139/ssrn.890423

Laura Frieder (Contact Author)

Purdue University - Krannert School of Management ( email )

1310 Krannert Building
West Lafayette, IN 47907-1310
United States

Inho Suk

State University of New York (SUNY) at Buffalo - School of Management ( email )

342 Jacobs Management Center
Buffalo, NY 14260-4000
United States
716-645-3215 (Phone)

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