Is news really news? The effects of selective disclosure regulations

Brent Kitchens, Robert Parham and Chris Yung

Review of Finance, 2024, vol. 28, issue 6, 1991-2015

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.

Keywords: news; media; information; price efficiency (search for similar items in EconPapers)
JEL-codes: G14 G15 G18 (search for similar items in EconPapers)
Date: 2024
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