Corporate Disclosures, Information Asymmetry And Stock-Market Liquidity In France

Sougné, Danielle; Ajina, Aymen; Lakhal, Faten

doi:10.19030/jabr.v31i4.9297

Cited by 36 publications

(47 citation statements)

References 56 publications

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“…They used five proxies for information asymmetry (i.e., quoted spread, effective spread, time-weighted spread, probability of informed trading [PIN] and adjusted PIN) and found negative associations with disclosure for all five proxies. Ajina et al (2015) found statistically-significant negative relationships between both the quoted and the effective bid-ask spread, and their disclosure proxy (voluntary disclosure in annual reports).…”

Section: Price Impactmentioning

confidence: 93%

“…A number of studies have used different proxies for information asymmetry (e.g. Ajina et al 2015;Fu, Kraft & Zhang 2012;Gajewski & Li 2015;Orens et al 2010). Three are retained here -the quoted or relative bid-ask spread, price impact, and analyst following.…”

Section: Measurement Of Internet Investor Relationsmentioning

confidence: 99%

“…The microstructure of financial markets stipulates that the share price should explain liquidity (Ajina et al 2015(Ajina et al :1228. Significant negative associations have been documented between share price and the following information asymmetry proxies: quoted bid-ask spread (Ajina et al 2015;Healy, Hutton & Palepu 1999;Welker 1995), time-weighted spread (Chang et al 2008) and effective spread (Ajina et al 2015;Heflin, Shaw & Wild 2005).…”

Section: Share Pricementioning

confidence: 99%

“…1 1. Ajina, Sougne and Lakhal (2015), for example, found a significant negative relationship between disclosure and bid-ask spread as information asymmetry proxy, but no significant relationship between disclosure and price impact as information asymmetry proxy.…”

Section: Introductionmentioning

confidence: 97%

“…The majority of related studies to date have either used an indirect disclosure proxy (i.e., a proxy that is not based on an examination of the original disclosure vehicle), for example, analyst ratings issued by the Association for Investment Management and Research (Botosan & Plumlee 2002;Brown & Hillegeist 2007), or based on an examination of the annual report (Ajina et al 2015;Cheng, Courtenay & Krishnamurti 2006;De La Bruslerie & Gabteni 2011). Studies that entail an examination of the original disclosure vehicle (e.g.…”

Section: Introductionmentioning

confidence: 99%

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The link between Internet investor relations and information asymmetry

Nel

Smit

Brümmer

2018

SAJEMS

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Background: Information asymmetry manifests when one party has more or better information than the other. Information asymmetry is said not only to increase transaction costs and decrease liquidity, but also to diminish the quality of the investment decisions taken by investors, thus weakening the overall functioning of markets. Aim and setting: A well-developed Internet investor relations (IIR) strategy, coupled with increased disclosure levels, should theoretically decrease information asymmetry levels. The majority of related studies to date used either an indirect disclosure proxy or involved an examination of the annual report, and have used data from United States or European companies. Empirical studies to date have produced mixed results. The aim of this study was to ascertain whether a relationship exists between the quality of IIR (via corporate websites) and information asymmetry. Method: This study used data from Johannesburg Stock Exchange (JSE)-listed companies. Multiple regression analysis was applied with information asymmetry as dependent variable and IIR as one of a set of selected explanatory variables. A self-constructed measurement instrument was used to measure IIR for a sample of 85 companies. Given the inherent difficulty with direct observation of information asymmetry, three different proxies were used to estimate information asymmetry. Results: A significant negative association was found between IIR and information asymmetry for all three information asymmetry proxies that were used: bid-ask spread, price impact, and analyst following. Conclusion: Empirical support is provided for the notion that companies may potentially benefit from a well-developed IIR strategy through reduced information asymmetry.

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Section: Price Impactmentioning

confidence: 93%