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Is news really news? The effects of selective disclosure regulations

Author

Listed:
  • Brent Kitchens
  • Robert Parham
  • Chris Yung

Abstract

Before regulations were enacted to prevent such practices, information leaked through selective disclosure was incorporated into markets prior to the public release of news. “News days” did not deliver news to markets; now they do. We provide novel evidence of changes in returns and turnover behavior around the enactment of regulations barring selective disclosure practices in the United States and the EU. We conversely document lack of such changes in Australia and Japan, which did not implement similar measures. We conclude that selective disclosure resolves Roll’s R2 puzzle.

Suggested Citation

  • Brent Kitchens & Robert Parham & Chris Yung, 2024. "Is news really news? The effects of selective disclosure regulations," Review of Finance, European Finance Association, vol. 28(6), pages 1991-2015.
    • Handle: RePEc:oup:revfin:v:28:y:2024:i:6:p:1991-2015.
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    File URL: http://hdl.handle.net/10.1093/rof/rfae030
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    More about this item

    Keywords

    news; media; information; price efficiency;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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