The Impact of International Financial Reporting Standards on Market Microstructure in Europe

Marie Lambert, Georges Hübner, P.-A. Michel and H. Olivier

LSF Research Working Paper Series from Luxembourg School of Finance, University of Luxembourg

Abstract: By focusing on the investors, IFRS disclosure is intended to support economic guidance. The scope of this study is, therefore, to highlight key indicators for value relevance of the IFRS framework. Through a pan-European event study, we first consider the problem of confidence in investments and convergence in opinions. We deepen our analysis through a close examination of the conjoint evolution of three microstructure indicators: market volatility, liquidity, and bid-ask spread. Then, Cusum of squares tests examine whether IFRS disclosure triggered any shifts in beta and alpha on the German and Euronext markets. This study provides some informative insights regarding the ability of the IFRS to convey information supporting a fair intrinsic risk-return profile of investments.

Keywords: IFRS value relevance; volatility; liquidity; bid-ask spread; risk-return profile; cusum of squares test. (search for similar items in EconPapers)
JEL-codes: D82 G14 G15 M41 (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:crf:wpaper:06-02

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