This paper aims to examine the price-sensitivity of information under capital market disclosure regulation, the Australian continuous disclosure regulation (CDR).
The study tests the information content of continuous disclosures and identifies the firm characteristics that condition the price-sensitivity of information under CDR.
The study provides evidence that continuous firm disclosures are significantly associated with stock price adjustment to information. Further results are consistent with firm disclosure and its information content being determined by the economics of the firm.
The findings of the study support the introduction of ongoing and continuous disclosure regimes in a number of capital markets, and assist firms and regulators model the price-sensitivity of information under CDR.
The study highlights the sources of an informed market, and contributes to our understanding of the conditions under which the CDR reveals unexpected information. The results provide evidence of an association between firm disclosure and stock price synchronicity, consistent with managerial incentives to disclose information.
The author is grateful for helpful comments on this paper from Jacqueline Burt, Gordon Richardson, Irene Tutticci, two anonymous reviewers and participants at the University of Queensland Accounting and Finance Seminar 2011, AFAANZ Conference 2011 in Darwin and the American Accounting Association Annual Meeting 2011 in Denver. Data supplied by the Securities Industry Research Centre on behalf of the ASX and Aspect Financial.
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