Does Information-Processing Cost Affect Firm-Specific Information Acquisition? Evidence from XBRL Adoption

2016 ◽  
Vol 51 (2) ◽  
pp. 435-462 ◽  
Author(s):  
Yi Dong ◽  
Oliver Zhen Li ◽  
Yupeng Lin ◽  
Chenkai Ni
Keyword(s):  
Information Processing ◽  
Information Acquisition ◽  
Stock Return ◽  
Natural Experiment ◽  
Securities And Exchange Commission ◽  
Specific Information ◽  
Business Reporting ◽  
Processing Cost ◽  
Voluntary Program ◽  
Machine Readable

AbstractWe examine how information-processing cost affects investors’ acquisition of firm-specific information using a natural experiment resulting from a recent mandate requiring U.S. firms to adopt eXtensible Business Reporting Language (XBRL) when submitting filings to the U.S. Securities and Exchange Commission (SEC). XBRL filings make financial data standardized, tagged, and machine readable. We find that XBRL adoption reduces firms’ stock return synchronicity. The reduction in synchronicity mainly applies to filings under the mandatory program as opposed to the voluntary program. Furthermore, such an effect is more pronounced for opaque and complex firms. Finally, we find that XBRL adoption also reduces price delay.

Information processing costs and stock price informativeness: Evidence from the XBRL mandate

2020 ◽  
pp. 031289622090767
Author(s):  
Yuyun Huang ◽  
Yuan George Shan ◽  
Joey W Yang
Keyword(s):  
Information Processing ◽  
Stock Price ◽  
Jel Classification ◽  
Specific Information ◽  
Financial Industry ◽  
Price Informativeness ◽  
Business Reporting ◽  
Batch Tests ◽  
Alternative Measures ◽  
Stock Price Informativeness

Using the eXtensible Business Reporting Language (XBRL) mandate as a pseudo-natural experiment, we provide empirical evidence that reduction in information processing costs (IPC) leads to more informative stock price through two channels, the firm-specific information incorporation, and increased disclosures. We also find that younger firms with relatively shorter public disclosure history benefit more than older firms, supporting the conjecture that XBRL accelerates the information incorporation process and expedites market’s learning about younger firms faster. Our results are robust to alternative measures of price informativeness, individual batch tests, placebo tests, and potential bias from financial industry. JEL Classification: G14, M41, M48

Initial Evidence on the Market Impact of the iXBRL Adoption

2021 ◽  
Author(s):  
Xin Luo ◽  
Tawei (David) Wang ◽  
Liu Yang ◽  
Xinlei Zhao ◽  
Yiyang Zhang
Keyword(s):  
Information Asymmetry ◽  
Stock Prices ◽  
Stock Return ◽  
Annual Reports ◽  
Informational Efficiency ◽  
Market Impact ◽  
Business Reporting ◽  
Long Run ◽  
Machine Readable

In June 2018, the SEC adopted Inline eXtensible Business Reporting Language (iXBRL), which embeds XBRL data into HTML-formatted annual reports to improve the accessibility and usefulness of the information disclosures to investors. This study assesses the effectiveness of iXBRL by examining its impact on informational efficiency and information asymmetry. Using a sample that includes iXBRL voluntary adopters before 2019, we find that iXBRL adoption lowers stock return drift and facilitates information being impounded into firm stock prices following the filing of annual reports. We also find that unlike XBRL, iXBRL reduces information asymmetry in the long run. These findings are consistent with the SEC’s intention of adopting iXBRL to combine human-readable and machine-readable information. Our study provides initial evidence on the effectiveness of iXBRL in communicating information to the external users of annual reports.

Analysts' Information Acquisition and Stock Price Synchronicity: A Regulatory Perspective from China

2018 ◽  
Vol 33 (1) ◽  
pp. 153-179 ◽  
Author(s):  
Haiyan Jiang ◽  
Donghua Zhou ◽  
Joseph H. Zhang
Keyword(s):  
Insider Trading ◽  
Private Information ◽  
Stock Prices ◽  
Information Acquisition ◽  
Stock Price ◽  
Specific Information ◽  
Stock Price Synchronicity ◽  
Playing Field ◽  
Information Advantage ◽  
Private Information Acquisition

SYNOPSIS Against the backdrop of the Chinese Directive 40 (China's Reg FD) issued in 2007 as an attempt to curb insider trading and to level the information playing field, this study investigates whether analysts' private information acquisition influences the extent to which firm-specific information is impounded into stock prices, i.e., stock price synchronicity, and how the restrictions on selective disclosures imposed by Directive 40 have shaped the relationship between analyst information acquisition and synchronicity. Using a pre-Directive 40 sample, we show that synchronicity is negatively related to analysts' private information acquisition, which provides support for the “information advantage” argument of analysts' information production. However, the ability of analysts' private information acquisition in improving firm-specific information incorporated into stock price is mitigated post-Directive 40 due to a restriction on selective disclosures and/or private communication. Moreover, we find that this regulatory impact varies for firms being followed by affiliated analysts versus non-affiliated analysts. JEL Classifications: G14; G15; G17; G18.

Market overreaction, firm-specific information and macroeconomic variables in US and Chinese markets during COVID-19

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Ooi Kok Loang ◽  
Zamri Ahmad
Keyword(s):  
Unemployment Rate ◽  
Stock Return ◽  
Design Methodology ◽  
Specific Information ◽  
Content Type ◽  
Macroeconomic Variables ◽  
Real Gdp ◽  
Chinese Markets ◽  
The Impact ◽  
Loser Portfolio

PurposeThis study examines the impact of firm-specific information and macroeconomic variables on market overreaction of US and Chinese winner and loser portfolio before and during COVID-19.Design/methodology/approachThe firm-specific information includes firm size, volume, volatility, return of asset (ROA), return of equity (ROE), earning per share (EPS) and quick ratio while the macroeconomic variables are export rate, import rate, real GDP, nominal GDP, FDI, IPI and unemployment rate. Besides, one-third of the top performance stocks are categorized as winner portfolio while one-third of lowest performance stocks are categorized as loser portfolio. This study uses AECR to indicate stock return and measure market overreaction. GAECR is used to determine contrarian profit. The data range of pre-COVID-19 is from 1-Jan-2015 to 31-Dec-2019 while the period of COVID-19 is from 1-Jan-2020 to 31-Dec-2020.FindingsIn pre-COVID-19, firm-specific information (volatility, ROA, ROE and EPS) and macroeconomic variables are found to be correlated to stock return in US and Chinese portfolios except Chinese winner portfolio. Nonetheless, the impact of firm-specific information has vanished and macroeconomic variables are significant to stock return in COVID-19. It shows that investors rely on the economic indicators to trade in turbulent period due to emergence of COVID-19 as a disruption in market. Furthermore, US and Chinese portfolios are overreacted during COVID-19. Chinese loser portfolio has higher tendency of overreaction than US loser portfolio while US winner portfolio has higher tendency of overreaction than Chinese winner portfolio.Originality/valueThe results of this study assists academician, practitioners and investors on understanding and create awareness to the existence of market overreaction and the determinants that can cause the phenomenon.

Block trading, information asymmetry, and the informativeness of trading

2015 ◽  
Vol 5 (3) ◽  
pp. 215-235 ◽  
Author(s):  
Ningning Pan ◽  
Hongquan Zhu
Keyword(s):  
Information Asymmetry ◽  
High Frequency ◽  
Stock Return ◽  
High Frequency Data ◽  
Individual Investors ◽  
Specific Information ◽  
Frequency Data ◽  
Information Effect ◽  
Content Type ◽  
Two Measures

Purpose – The purpose of this paper is to investigate how block trading and asymmetric information contribute to the firm-specific information measured by the stock return synchronicity. Based on China stock market which is dominated by individual investors, this study focus on whether traders of block trading, which are usually institutional investors, are “information trader.” Design/methodology/approach – Based on the high frequency data, the paper constructs two measures of information asymmetry, intraday measure and inter-day measure. Then the paper constructs a multiple regression model and examine how block trading and information asymmetry contribute to the firm-specific information measured by the stock return synchronicity. Findings – The results show that: on the one hand, block trading transmits more firm-specific information, and can reduce the synchronicity; on the other hand, when the degree of information asymmetry is higher, block trading contains more firm-specific information and has a stronger effect on synchronicity. The effect of information asymmetry specifically displays as: block trading during the first half-hour of the trading day has a stronger effect on synchronicity; and block trading occurred in the days with publicly announced trading information has greater impact on synchronicity. Practical implications – The conclusions have important practical implications: for market regulators, monitoring for block trading can improve the recognition and prevention of insider trading; for individual investors, especially the risk aversion investors, recognition of intraday and inter-day information asymmetry is beneficial for them to avoid the risk of asymmetric information. Originality/value – First, the domestic and foreign research mostly concentrated impact of block trading on stock prices. However, reasons of stock price changes include the information effect and non-information effect, this paper selects stock return synchronicity as firm-specific information measure, and mainly focus on the information effect of block trading. Second, based on the high frequency data, the paper constructs two measures of information asymmetry, intraday measure and inter-day measure. Compared with general measure of information asymmetry, such as firm size, earnings quality, the two measures based on high frequency data are more precisely.

scholarly journals Alpha/beta power decreases track the fidelity of stimulus-specific information

2019 ◽  
Author(s):  
Benjamin J. Griffiths ◽  
Stephen D. Mayhew ◽  
Karen J. Mullinger ◽  
João Jorge ◽  
Ian Charest ◽  
...  
Keyword(s):  
Information Processing ◽  
Memory Retrieval ◽  
Negative Relationship ◽  
Memory Task ◽  
Significant Negative Correlation ◽  
Neuronal Firing ◽  
Specific Information ◽  
Beta Power ◽  
Alpha Beta ◽  
Task Irrelevant

AbstractMassed synchronised neuronal firing is detrimental to information processing. When networks of task-irrelevant neurons fire in unison, they mask the signal generated by task-critical neurons. On a macroscopic level, mass synchronisation of these neurons can contribute to the ubiquitous alpha/beta (8-30Hz) oscillations. Reductions in the amplitude of these oscillations, therefore, may reflect a boost in the processing of high-fidelity information within the cortex. Here, we test this hypothesis. Twenty-one participants completed an associative memory task while undergoing simultaneous EEG-fMRI recordings. Using representational similarity analysis, we quantified the amount of stimulus-specific information represented within the BOLD signal on every trial. When correlating this metric with concurrently-recorded alpha/beta power, we found a significant negative correlation which indicated that as alpha/beta power decreased, our metric of stimulus-specific information increased. This effect generalised across cognitive tasks, as the negative relationship could be observed during visual perception and episodic memory retrieval. Further analysis revealed that this effect could be better explained by alpha/beta power decreases providing favourable conditions for information processing, rather than directly representing stimulus-specific information. Together, these results indicate that alpha/beta power decreases parametrically track the fidelity of both externally-presented and internally-generated stimulus-specific information represented within the cortex.

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