Please use this identifier to cite or link to this item: https://doi.org/10.1016/j.jbankfin.2013.07.026
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dc.titleThe relationship between the frequency of news release and the information asymmetry: The role of uninformed trading
dc.contributor.authorSankaraguruswamy, S.
dc.contributor.authorShen, J.
dc.contributor.authorYamada, T.
dc.date.accessioned2014-12-12T07:52:24Z
dc.date.available2014-12-12T07:52:24Z
dc.date.issued2013-11
dc.identifier.citationSankaraguruswamy, 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
dc.identifier.issn03784266
dc.identifier.urihttp://scholarbank.nus.edu.sg/handle/10635/116644
dc.description.abstractThis 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..
dc.description.urihttp://libproxy1.nus.edu.sg/login?url=http://dx.doi.org/10.1016/j.jbankfin.2013.07.026
dc.sourceScopus
dc.subjectD82
dc.subjectG14
dc.subjectInformation asymmetry
dc.subjectNews release
dc.subjectPIN
dc.subjectUninformed trading
dc.typeArticle
dc.contributor.departmentACCOUNTING
dc.description.doi10.1016/j.jbankfin.2013.07.026
dc.description.sourcetitleJournal of Banking and Finance
dc.description.volume37
dc.description.issue11
dc.description.page4134-4143
dc.description.codenJBFID
dc.identifier.isiut000326212100010
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