Financial reporting opacity and informed trading by international institutional investors

• 成果类型: Article
• 署名作者: Maffett, Mark
• 署名单位: University of Chicago
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/j.jacceco.2012.09.002
• 发表日期: 2012
• 关键词: STOCK RETURNS; earnings; INFORMATION; TRANSPARENCY; determines; liquidity; QUALITY; FIRMS; BIAS

摘要

Using cross-country data on trading by international mutual funds, I find that firms with more opaque information environments, as captured by firm- and country-level measures of the availability of financial reporting information, experience more privately informed trading by institutional investors. The association between firm-level opacity and informed trading is most pronounced where country-level disclosure infrastructures are less developed and for those investors for whom the incentives and opportunities to acquire private information are greatest. A difference-in-differences analysis of the returns earned by institutions in opaque stocks suggests that this information advantage is economically significant. (C) 2012 Elsevier B.V. All rights reserved.