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The Impact of Disclosure Reform on Information Risk in NZX‐listed Stocks+

Russel Poskitt (University of Auckland, New Zealand)
Peihong Yang (University of Auckland, New Zealand)

Pacific Accounting Review

ISSN: 0114-0582

Article publication date: 1 March 2006

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Abstract

This study investigates the impact of the enhanced continuous disclosure regime introduced in December 2002 on several measures of information risk in NZX‐listed stocks. We employ two microstructure models and an intraday data set to measure information risk in a sample of 71 stocks. Our empirical results show that the reforms enacted in December 2002 had no significant effect on either the level of information‐based trading or the adverse selection component of market spreads in our sample of NZX‐listed stocks.

Keywords

Citation

Poskitt, R. and Yang, P. (2006), "The Impact of Disclosure Reform on Information Risk in NZX‐listed Stocks+", Pacific Accounting Review, Vol. 18 No. 1, pp. 47-69. https://doi.org/10.1108/01140580610818601

Publisher

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Emerald Group Publishing Limited

Copyright © 2006, Emerald Group Publishing Limited