Please use this identifier to cite or link to this item: https://doi.org/10.1016/j.jbankfin.2013.07.026
Title: The relationship between the frequency of news release and the information asymmetry: The role of uninformed trading
Authors: Sankaraguruswamy, S. 
Shen, J.
Yamada, T.
Keywords: D82
G14
Information asymmetry
News release
PIN
Uninformed trading
Issue Date: Nov-2013
Citation: Sankaraguruswamy, S., Shen, J., Yamada, T. (2013-11). The relationship between the frequency of news release and the information asymmetry: The role of uninformed trading. Journal of Banking and Finance 37 (11) : 4134-4143. ScholarBank@NUS Repository. https://doi.org/10.1016/j.jbankfin.2013.07.026
Abstract: This paper shows that the degree of information asymmetry is lower for firms with more frequent news releases. The relation holds for various measures of information asymmetry such as the probability of information-based trading (. PIN), permanent price impact, and adverse selection component of bid-ask spread, even after adjusting for endogeneity between news release and information asymmetry. By decomposing the PIN into intensities of uninformed and informed trades, similarly to Brown and Hillegeist (2007), we find that intensity of uninformed trading increases much more than that of informed trading for firms with more frequent news releases. As a result, information asymmetry, as is measured by PIN, decreases for such firms due to the large increase in the intensity of uninformed trading. Our findings highlight not only the importance of news releases in leveling the playing field of investors but also the role of uninformed investors in reducing trading cost due to information asymmetry. © 2013 Elsevier B.V..
Source Title: Journal of Banking and Finance
URI: http://scholarbank.nus.edu.sg/handle/10635/116644
ISSN: 03784266
DOI: 10.1016/j.jbankfin.2013.07.026
Appears in Collections:Staff Publications

Show full item record
Files in This Item:
There are no files associated with this item.

Google ScholarTM

Check

Altmetric


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.