Initial Evidence on the Market Impact of the iXBRL Adoption

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.

Optimal trading: The importance of being adaptive

We compare optimal static and dynamic solutions in trade execution. An optimal trade execution problem is considered where a trader is looking at a short-term price predictive signal while trading. When the trader creates an instantaneous market impact, it is shown that transaction costs of optimal adaptive strategies are substantially lower than the corresponding costs of the optimal static strategy. In the same spirit, in the case of transient impact, it is shown that strategies that observe the signal a finite number of times can dramatically reduce the transaction costs and improve the performance of the optimal static strategy.