Disclosure standards and market efficiency: Evidence from analysts' forecasts

• 成果类型: Article
• 署名作者: Tong, Hui
• 署名单位: International Monetary Fund
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2006.11.004
• 发表日期: 2007
• 页码: 222-241
• 关键词: disclosure standards; analyst forecast; public information; private information; international financial architecture

摘要

This paper studies whether recent international transparency initiatives affect information accuracy and dispersion. I show that the impact of these initiatives is limited because public disclosure crowds out private investments in information. I first develop a theoretical model of the incentive to invest in information and the impact of public disclosure. I then analyze stock market analysts' forecasts for thirty developing economies for the period 1990-2004. I find that disclosure standards enhance forecast accuracy directly but at the same time reduce the number of analysts per stock (proxy for private information investments). The net effect of disclosure standards thus ranges from weak to nonexistent. (C) 2007 Elsevier B.V. All rights reserved.