Changes

@article{clarke2001information, title={On information asymmetry metrics}, author={Clarke, J. and Shastri, K.}, year={2001}, abstract={The purpose of this paper is to provide a systematic empirical comparison of the different proxy variables used to measure information asymmetry. We construct different information asymmetry measures based on a firm’s growth opportunities, the market microstructure of the firm’s stock, and analysts’ forecasts of a firm’s earnings per share and examine their correlations under different sampling situations. We also study the ability of the microstructurebased measures, which can be calculated at any point in time, to detect trends in corporate finance proxies, which are measured quarterly. We find that the market microstructure measures tend to be highly correlated with one another. Moreover, they are related to firm characteristics that ex ante should be associated with information asymmetry. The market microstructure measures tend to be related to analyst forecast errors only for large, widely followed firms. Our results also indicate that monthly changes in the microstructure measures of information asymmetry are significantly correlated with annual changes in the corporate finance proxy variables.}, filename={Clarke Shastri (2001) - On Information Asymmetry Metrics.pdf} }

@article{ascioglu2008information, title={Information asymmetry and investment-cash flow sensitivity}, author={Ascioglu, A. and Hegde, S.P. and McDermott, J.B.}, journal={Journal of Banking \& Finance}, volume={32}, number={6}, pages={1036--1048}, year={2008}, publisher={Elsevier}, abstract={Models of capital market imperfections predict that information asymmetry increases the sensitivity of a firm’s investment expenditures to fluctuations in internal funds by making external capital more costly. Previous empirical tests of the link between investment and financing decisions have relied on indirect measures of the degree to which a firm becomes financially constrained due to market frictions. In contrast, we use more direct measures of informational frictions derived from the market microstructure literature. Consistent with the theoretical prediction, our analysis shows that the scaled investment expenditures of firms with greater informed trade have greater investment- cash flows sensitivity. We also find the relationship between investment-cash flow sensitivity as a function of informed trade is nonmonotonic. Our results are robust to multiple alternative measures of informed trade and liquidity.}, filename={Ascioglu Hegde McDermott (2008) - Information Asymmetry And Investment Cash Flow Sensitivity.pdf} }

@article{bhattacharya2008earnings, title={Earnings quality and information asymmetry: evidence from trading costs}, author={Bhattacharya, N. and Desai, H. and Venkataraman, K.}, year={2008}, abstract={The adverse consequences of poor earnings quality have been the subject of significant debate among academics, practitioners and regulators. However, the empirical evidence on pricing implications of earnings quality is sparse and controversial. We examine one potential consequence of poor earnings quality - its impact on information asymmetry. We document that poor earnings quality increases the adverse selection risk as manifested in trading costs and lowers liquidity in financial markets. Both innate and discretionary components of earnings quality contribute significantly to information asymmetry. Further, poor earnings quality exacerbates information asymmetry around earnings announcements, especially for firms where earnings represent the principal source of information for market participants, suggesting that poor quality earnings offers a greater information advantage to informed traders. An important implication is that earnings quality can affect cost of capital via its impact on trading cost. Additionally, from a policy perspective, we show that earnings quality can lead to significant variation in information asymmetry even for firms within a uniform reporting regime.}, filename={Bhattacharya Desai Venkataraman (2008) - Earnings Quality And Information Asymmetry Evidence From Trading Costs.pdf} }

@article{aboody2000information, title={Information asymmetry, R\&D, and insider gains}, author={Aboody, D. and Lev, B.}, journal={The journal of Finance}, volume={55}, number={6}, pages={2747--2766}, year={2000}, publisher={Wiley Online Library}, abstract={Although researchers have documented gains from insider trading, the sources of private information leading to information asymmetry and insider gains have not been comprehensively investigated. We focus on research and development (R&D)-an increasingly important yet poorly disclosed productive input-as a potential source of insider gains. Our findings, for the period from 1985 to 1997 indicate that insider gains in R&D-intensive firms are substantially larger than insider gains in firms without R&D. Insiders also take advantage of information on planned changes in R&D budgets. R&D is thus a major contributor to information asymmetry and insider gains, raising issues concerning management compensation, incentives, and disclosure policies.}, filename={Aboody Lev (2000) - Information Asymmetry R And D And Insider Gains.pdf} }

@article{atiase1994trading, title={Trading volume reactions to annual accounting earnings announcements: The incremental role of predisclosure information asymmetry}, author={Atiase, R.K. and Bamber, L.S.}, journal={Journal of accounting and economics}, volume={17}, number={3}, pages={309--329}, year={1994}, publisher={Elsevier}, abstract={This study provides empirical evidence regarding the effect of annual accounting earnings announcements on investors' trading behavior. We find that the magnitude of trading volume reaction is an increasing function of both the magnitude of the associated price reaction and the level of predisclosure information asymmetry. These results are consistent with Kim and Verrecchia's (1991a) theoretical trading volume proposition.}, filename={Atiase Bamber (1994) - Trading Volume Reactions To Annual Accounting Earnings Announcements.pdf} }

@article{pevzner2007managementchen2003bid, title={Management earnings forecastsBid-ask spreads, information asymmetry, and liquidityabnormal investor sentiment: an empirical investigationevidence from closed-end funds}, author={PevznerChen, J.H. and Jiang, C.X. and Kim, MJ.C. and McInish, T.H.}, journal={Review of Quantitative Finance and Accounting}, volume={21}, number={4}, pages={303--321}, year={20072003}, publisher={Springer}, abstract={This study investigates (1) whether forecasting firms have lower liquidity prior Using a sample of closed-end equity funds listed on the NYSE from 1994 to 1999, we investigate differences in spreads and adverse selection costs between the issuance of a managementclosed-earnings forecast than non-forecasting firms end funds and (2) whether forecasting earnings has a persistent affect on a firm's liquiditymatched sample of common stocks. I We find that, first, forecasting firms have greater liquidity in spreads and adverse selection costs for the period prior to a forecastclosed-end funds are significantly lower than those of control stocks. SecondThe results are consistent for the subperiods both before and after the minimum tick size change on NYSE on June 24, while issuing forecast increases liquidity 1997. The differences of spreads and adverse selection costs cannot be attributed to the differences in over short windows, this effect is not significant over longer windows. Third, initiating or ceasing the issuance characteristics of earnings forecasts has no significant longthe closed-term effect on end funds and the firm's liquiditymatched sample of common stocks. CombinedLastly, these results suggest we find that management earnings forecasting decision does not appear to be driven by liquidityabnormal investor sentiment and adverse selection costs of closed-improvement goals, and that management earnings forecasts do not appear to strongly affect firms' liquidityend funds are positively correlated over time. }, filename={Pevzner Chen Jiang Kim McInish (20072003) - Management Earnings Forecasts Bid Ask Spreads Information Asymmetry And LiquidityAbnormal Investor Sentiment.pdf} }

@article{chen2003bidlobo1997relation, title={Bid-ask spreads, Relation between predisclosure information asymmetry, and abnormal investor sentiment: evidence from closed-end fundstrading volume reaction around quarterly earnings announcements}, author={ChenLobo, J.H. and Jiang, CG.X. and Kim, J.C. and McInishTung, T.HS.}, journal={Review Journal of Quantitative Business Finance and \& Accounting}, volume={2124}, number={46}, pages={303851--321867}, year={20031997}, publisher={SpringerWiley Online Library}, abstract={Using a sample This study investigates the effects of closed-end equity funds listed differences in predisclosure information asymmetry on the NYSE from 1994 trading volume reaction during quarterly earnings announcements. The analyses show that trading volume reaction to quarterly earnings announcements is positively related to 1999, we investigate differences in spreads and adverse selection costs between the closed-end funds and a matched sample level of common stocks.We find that spreads predisclosure information asymmetry and adverse selection costs for to the closed-end funds are significantly lower than those magnitude of control stocksthe price reaction to the announcements. The These results are consistent for the subperiods both before with Kim and Verrecchia's (1991a) theoretical trading volume proposition, and with Atiase and after Bamber's (1994) tests of the minimum tick size change proposition based on NYSE annual earnings announcements. This study also provides evidence on June 24, 1997. The differences of spreads and adverse selection costs cannot be attributed to the differences in the characteristics relation of the closed-end funds predisclosure information asymmetry and the matched sample of common stocks. Lastly, we find that abnormal investor sentiment trading volume before and adverse selection costs of closed-end funds are positively correlated over timeafter quarterly earnings announcements.}, filename={Chen Jiang Kim McInish Lobo Tung (20031997) - Bid Ask Spreads Relation Between Predisclosure Information Asymmetry And Abnormal Investor SentimentTrading Volume Reaction Around Quarterly Earnings Announcements.pdf} }

@article{lobo1997relationbrennan1996market, title={Relation between predisclosure information asymmetry Market microstructure and trading volume reaction around quarterly earnings announcementsasset pricing: On the compensation for illiquidity in stock returns}, author={LoboBrennan, GM.J. and TungSubrahmanyam, SA.}, journal={Journal of Business Finance \& AccountingFinancial Economics}, volume={2441}, number={63}, pages={851441--867464}, year={19971996}, publisher={Wiley Online LibraryElsevier}, abstract={This study investigates the effects Models of differences price formation in predisclosure information asymmetry on trading volume reaction during quarterly earnings announcements. The analyses show securities markets suggest that privately informed investors create significant illiquidily costs for uninformed investors, implying that trading volume reaction to quarterly earnings announcements is positively related to the level required rates of predisclosure information asymmetry return should be higher for securities that are relatively illiquid. We investigate the empirical relation between monthly stock returns and to the magnitude measures of illiquity obtained from intraday data. We find a significant relation between required rates of return and these measures after adjusting for the price reaction to the announcements. These results are consistent with Kim Fama and Verrecchia's (1991a) theoretical trading volume propositionFrench risk factors, and with Atiase and Bamber's (1994) tests of the proposition based on annual earnings announcements. This study also provides evidence on after accounting for the relation effects of predisclosure information asymmetry and trading volume before and after quarterly earnings announcementsthe stock price level.}, filename={Lobo Tung Brennan Subrahmanyam (19971996) - Relation Between Predisclosure Information Asymmetry Market Microstructure And Trading Volume Reaction Around Quarterly Earnings AnnouncementsAsset Pricing.pdf} }

@article{brennan1996marketbrennan1998alternative, title={Market microstructure Alternative factor specifications, security characteristics, and asset pricing: On the compensation for illiquidity in cross-section of expected stock returns}, author={Brennan, M.J. and Chordia, T. and Subrahmanyam, A.}, journal={Journal of Financial Economics}, volume={4149}, number={3}, pages={441345--464373}, year={19961998}, publisher={Elsevier}, abstract={Models of price formation in securities markets suggest that privately informed investors create significant illiquidily costs for uninformed investors, implying that the required rates of return should be higher for securities that are relatively illiquid. We investigate examine the empirical relation between monthly stock returns and , measures of illiquity obtained from intraday datarisk, and several non-risk security characteristics, including the book-to-market ratio, Þrm size, the stock price, the dividend yield, and lagged returns. We find a significant relation between required rates of return Our primary objective is to determine whether non-risk characteristics have marginal explanatory power relative to the arbitrage pricing theory benchmark, with factors determined using, in turn, the Connor and Korajczyk (CK; 1988) and these measures after adjusting for the Fama and French (FF; 1993b) approaches. FamaÐMac- Beth-type regressions using risk factorsadjusted returns provide evidence of return momentum, size, and book-to-market e¤ects, together with a signiÞcant and negative relation between returns and also trading volume, even after accounting for the effects of CK factors. When the analysis is repeated using the FF factors, we Þnd that the size and book-to-market e¤ects are attenuated, while the stock price levelmomentum and trading volume e¤ects persist. In addition, Nasdaq stocks show signiÞcant underperformance after adjusting for risk using either method.}, filename={Brennan Chordia Subrahmanyam (19961998) - Market Microstructure Alternative Factor Specifications Security Characteristics And Asset PricingThe Cross Section Of Expected Stock Returns.pdf} }

@article{brennan1998alternativechordia2001trading, title={Alternative factor specifications, security characteristics, Trading activity and the cross-section of expected stock returns}, author={Brennan, M.J. and Chordia, T. and Subrahmanyam, A. and Anshuman, V.R.}, journal={Journal of Financial Economics}, volume={4959}, number={3}, pages={345--37332}, year={19982001}, publisher={Elsevier}, abstract={We examine Given the evidence that the relation between stock level of liquidity a!ects asset returns, measures a reasonable hypothesis is that the second moment of risk, and several non-risk security characteristics, including the book-liquidity should be positively related to-market ratio, Þrm sizeasset returns, provided agents care about the stock price, the dividend yield, and lagged returns. Our primary objective is to determine whether non-risk characteristics have marginal explanatory power relative to the arbitrage pricing theory benchmark, associated with factors determined using, #uctuations in turnliquidity. Motivated by this observation, we analyze the Connor and Korajczyk (CK; 1988) relation between expected equity returns and the Fama and French (FF; 1993b) approaches. FamaÐMac- Beth-type regressions using risk adjusted returns provide evidence level as well as the volatility of return momentumtrading activity, sizea proxy for liquidity. We document a result contrary to our initial hypothesis, and book-to-market e¤ectsnamely, together with a signiÞcant negative and negative relation surprisingly strong cross-sectional relationship between stock returns and the variability of dollar trading volumeand share turnover, even after accounting controlling for the CK factors. When the analysis is repeated using the FF factorssize, we Þnd that the size and book-to-market e¤ects are attenuatedratio, while the momentum , and trading the level of dollar volume e¤ects persistor share turnover. In additionThis e!ect survives a number of robustness checks, Nasdaq stocks show signiÞcant underperformance after adjusting for risk using either methodand is statistically and economically signi"cant. Our analysis demonstrates the importance of trading activity-related variables in the crosssection of expected stock returns.}, filename={Brennan Chordia Subrahmanyam Anshuman (19982001) - Alternative Factor Specifications Security Characteristics Trading Activity And The Cross Section Of Expected Stock Returns.pdf} }

@article{chordia2001tradingeasley1996liquidity, title={Trading activity Liquidity, information, and expected stock returnsinfrequently traded stocks}, author={ChordiaEasley, TD. and SubrahmanyamKiefer, AN.M. and AnshumanO'hara, VM.Rand Paperman, J.B.}, journal={Journal of Financial EconomicsFinance}, volume pages={591405--1436}, number={3}, pages year={321996}, year publisher={2001JSTOR}, abstract={Given the evidence that the level of liquidity a!ects asset returns, a reasonable hypothesis is that the second moment of liquidity should be positively related to asset returns, provided agents care about the risk associated with #uctuations This article investigates whether differences in information-based trading can explain observed differences in liquidityspreads for active and infrequently traded stocks. Motivated by this observationUsing a new empirical technique, we analyze estimate the relation between expected equity returns and the level as well as the volatility risk of information-based trading activity, for a proxy for liquiditysample of New York Stock Exchange (NYSE) listed stocks. We document a result contrary use the information in trade data to our initial hypothesisdetermine how frequently new information occurs, namely, a negative and surprisingly strong cross-sectional relationship between stock returns and the variability composition of dollar trading volume and share turnover, after controlling for size, book-to-market ratio, momentumwhen it does, and the level depth of dollar the market for different volume or share turnover-decile stocks. This e!ect survives a number Our most important empirical result is that the probability of robustness checks, and information-based trading is statistically and economically signi"cantlower for high volume stocks. Our analysis demonstrates Using regressions, we provide evidence of the economic importance of information-based trading activity-related variables in the crosssection of expected stock returnson spreads.}, filename={Chordia Subrahmanyam Anshuman Easley Kiefer Ohara Paperman (20011996) - Trading Activity Liquidity Information And Expected Stock ReturnsInfrequently Traded Stocks.pdf} }

@article{easley1996liquidityeasley2002information, title={Liquidity, Is information, and infrequently traded stocksrisk a determinant of asset returns?}, author={Easley, D. and KieferHvidkjaer, N.MS. and O'haraO’hara, M. and Paperman, J.B.}, journal={The Journal of Finance}, volume={57}, number={5}, pages={14052185--14362221}, year={19962002}, publisher={JSTORWiley Online Library}, abstract={This article investigates whether differences in We investigate the role of information-based trading can explain observed differences in spreads for active and infrequently traded stocksaffecting asset returns. We show in a rational expectation example how private information affects equilibrium asset returns. Using a new empirical techniquemarket microstructure model, we estimate derive a measure of the risk probability of information-based trading , and we estimate this measure using data for a sample of New York Stock Exchange (individual NYSE) -listed stocksfor 1983 to 1998. We use the information in trade data to determine how frequently new information occurs, the composition of trading when it does, then incorporate our estimates into a Fama and the depth of the market for different volumeFrench (1992) asset-decile stockspricing framework. Our most important empirical main result is that information does affect asset prices. A difference of 10 percentage points in the probability of information-based trading is lower for high volume between two stocksleads to a difference in their expected returns of 2. Using regressions, we provide evidence of the economic importance of information-based trading on spreads5 percent per year.}, filename={Easley Kiefer Hvidkjaer Ohara Paperman (19962002) - Liquidity Is Information And Infrequently Traded StocksRisk A Determinant Of Asset Returns.pdf} }

@article{easley2002information, title={Is information risk a determinant of asset returns?}, author={Easley, D. and Hvidkjaer, S. and O’hara, M.}, journal={The Journal of Finance}, volume={57}, number={5}, pages={2185--2221}, year={2002}, publisher={Wiley Online Library}, abstract={We investigate the role of information-based trading in affecting asset returns. We show in a rational expectation example how private information affects equilibrium asset returns. Using a market microstructure model, we derive a measure of the probability of information-based trading, and we estimate this measure using data for individual NYSE-listed stocks for 1983 to 1998. We then incorporate our estimates into a Fama and French (1992) asset-pricing framework. Our main result is that information does affect asset prices. A difference of 10 percentage points in the probability of information-based trading between two stocks leads to a difference in their expected returns of 2.5 percent per year.}, filename={Easley Hvidkjaer Ohara (2002) - Is Information Risk A Determinant Of Asset Returns.pdf}}  @article{ittner2001assessing, title={Assessing empirical research in managerial accounting: a value-based management perspective}, author={Ittner, C.D. and Larcker, D.F.}, journal={Journal of accounting and economics}, volume={32}, number={1}, pages={349--410}, year={2001}, publisher={Elsevier}, abstract={This paper applies a value-based management framework to critically review empirical research in managerial accounting. This framework enables us to place the exceptionally diverse set of managerial accounting studies from the past several decades into an integrated structure. Our synthesis highlights the many consistent results in prior research, identifies remaining gaps and inconsistencies, discusses common methodological and econometric problems, and suggests fruitful avenues for future managerial accounting research.}, filename={Ittner Larcker (2001) - Assessing Empirical Research In Managerial Accounting.pdf} }