Much research has investigated the differences between option implied volatilities and econometric model-based forecasts. Implied volatility is a market determined forecast, in contrast to model-based forecasts that employ some degree of smoothing of past volatility to generate forecasts....

This study investigates the impact of changes to the New Zealand Exchange's listing rules and legislative amendments to the Securities Markets Act 1988 enacted in December 2002. The reforms provided statutory backing for a more stringent disclosure regime. We find evidence that non-dual listed...