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Disclosure Deregulation of Quarterly Reporting
Behrmann, Vanessa; Hornuf, Lars; Zimmermann, Jochen - 2022
Directive into German law and analyze whether a reduction in the minimum content requirements for quarterly reporting increases … manually examine firms’ quarterly reports for their content elements and construct a new quarterly reporting measure with an … ordinal quality dimension. The results reveal that during the period from 2012 to 2019 lower quarterly reporting levels due to …
Persistent link: https://www.econbiz.de/10013323972
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Qualitative Information Disclosure : Is Mandating Additional Tax Information Disclosure Always Useful?
Bilicka, Katarzyna Anna; Casi-Eberhard, Elisa; Seregni, … - 2021
Firms are facing progressively more stringent tax disclosure requirements. In this paper, we examine whether increased qualitative tax transparency leads to intended outcomes using, as an exogenous shock, the 2016 UK reform that mandated the disclosure of a tax strategy for firms above a certain...
Persistent link: https://www.econbiz.de/10013231964
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Have Capital Market Anomalies Worldwide Attenuated in the Recent Era of High Liquidity and Trading Activity?
Auer, Benjamin R. - 2018
We revisit and extend the study by Chordia et al. (2014) which documents that, in recent years, increased liquidity has significantly decreased exploitable returns of capital market anomalies in the US. Using a novel international dataset of arbitrage portfolio returns for four well-known...
Persistent link: https://www.econbiz.de/10012908691
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Too Complex to Digest? Federal Tax Bills and Their Processing in US Financial Markets
Bennani, Hamza; Neuenkirch, Matthias - 2022
In this paper, we analyze whether the complexity of tax bills affects financial markets. Based on the Flesch-Kincaid grade level of the 32 tax bills identified by Romer and Romer (2010) in the period 1962–2003, we assess the relationship between tax bills’ complexity and financial markets...
Persistent link: https://www.econbiz.de/10014242788
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Persistence in High Frequency Financial Data
Caporale, Guglielmo Maria; Plastun, Alex - 2022
This paper investigates persistence in high-frequency, intraday data (and also daily and monthly ones) in the case of the EuroStoxx 50 futures over the period from 2002 to 2018 (720 million trade records) using R/S analysis and the Hurst exponent as a measure of persistence. The results indicate...
Persistent link: https://www.econbiz.de/10014242794
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Tax Strategy Disclosure: A Greenwashing Mandate
Bilicka, Katarzyna A.; Casi, Elisa; Seregni, Carol; … - 2022
Firms constantly face new and more stringent tax disclosure requirements and, increasingly, paying a fair share of tax is seen as part of corporate social responsibility. In this paper, we investigate whether mandating qualitative tax disclosure leads to intended outcomes, using, as an exogenous...
Persistent link: https://www.econbiz.de/10013266717
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Double-question Survey Measures for the Analysis of Financial Bubbles and Crashes
Pesaran, M. Hashem; Johnsson, Ida - 2016
This paper proposes a new double-question survey method that elicits information about how individuals.subjective belief valuations are compared and related to their price expectations. An individual respondent is presented with two sets of questions, one that asks about his/her belief regarding...
Persistent link: https://www.econbiz.de/10011615827
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High Frequency Trading and Fragility
Cespa, Giovanni; Vives, Xavier - 2016
We show that limited dealer participation in the market, coupled with an informational friction resulting from high frequency trading, can induce demand for liquidity to be upward sloping and strategic complementarities in traders’ liquidity consumption decisions: traders demand more liquidity...
Persistent link: https://www.econbiz.de/10011615834
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Exchange Competition, Entry, and Welfare
Cespa, Giovanni; Vives, Xavier - 2018
We assess the consequences for market quality and welfare of different entry regimes and exchange pricing policies in a context of limited market participation. To this end we integrate a two-period market microstructure model with an exchange competition model with entry in which exchanges...
Persistent link: https://www.econbiz.de/10012018123
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Measuring Euro Area Monetary Policy
Altavilla, Carlo; Brugnolini, Luca; Gürkaynak, Refet S.; … - 2019
We study the information flow from the ECB on policy dates since its inception, using tick data. We show that three factors capture about all of the variation in the yield curve but that these are different factors with different variance shares in the window that contains the policy decision...
Persistent link: https://www.econbiz.de/10012052805