TY - JOUR
T1 - Information disclosure and stock liquidity
T2 - Evidence from borsa Italiana
AU - Frino, Alex
AU - Palumbo, Riccardo
AU - Capalbo, Francesco
AU - Gerace, Dionigi
AU - Mollica, Vito
PY - 2013/12
Y1 - 2013/12
N2 - This article examines the effect of increased corporate information disclosure on stock liquidity. Using the adoption of International Financial Reporting Standards (IFRS) in Italy as a natural experiment we extend previous work examining the effect on one measure of liquidity-bid-ask spreads-to others, specifically depth and the price impact of transactions (or effective bid-ask spreads). Consistent with previous research we find that bid-ask spreads of stocks decline following the introduction of IFRS, which implies that stock liquidity increases for small traders. However, we also provide evidence that depth at the best quotes declines, which challenges the proposition that liquidity increases for large trades following an increase in disclosure. In additional tests, we find that effective bid-ask spreads of block trades also decline following the introduction of IFRS. Overall, this evidence confirms that stock liquidity for both small and large trades increases following an increase in corporate information disclosure. Abacus
AB - This article examines the effect of increased corporate information disclosure on stock liquidity. Using the adoption of International Financial Reporting Standards (IFRS) in Italy as a natural experiment we extend previous work examining the effect on one measure of liquidity-bid-ask spreads-to others, specifically depth and the price impact of transactions (or effective bid-ask spreads). Consistent with previous research we find that bid-ask spreads of stocks decline following the introduction of IFRS, which implies that stock liquidity increases for small traders. However, we also provide evidence that depth at the best quotes declines, which challenges the proposition that liquidity increases for large trades following an increase in disclosure. In additional tests, we find that effective bid-ask spreads of block trades also decline following the introduction of IFRS. Overall, this evidence confirms that stock liquidity for both small and large trades increases following an increase in corporate information disclosure. Abacus
UR - http://www.scopus.com/inward/record.url?scp=84890396146&partnerID=8YFLogxK
U2 - 10.1111/abac.12014
DO - 10.1111/abac.12014
M3 - Article
AN - SCOPUS:84890396146
VL - 49
SP - 423
EP - 440
JO - Abacus: A Journal of Accounting, Finance and Business Studies
JF - Abacus: A Journal of Accounting, Finance and Business Studies
SN - 0001-3072
IS - 4
ER -