Frequency of and Responses to Voluntarily Disclosed Earnings on Floor- and Screen-Based Markets
44 Pages Posted: 16 Mar 2006
Date Written: March 13, 2006
We investigate whether managers' decisions to voluntarily disclose earnings information are related to the type of exchange on which their firm's equity is listed: a floor-based auction market (NYSE) or a screen-based dealer market (NASDAQ). We analyze how markets react to voluntarily disclosed earnings on each type of exchange. After controlling for postulated determinants of voluntary disclosure and exchange listing, we find that firms traded on floor-based auction markets are more likely to disclose earnings. We also uncover evidence that firms listed on floor-based markets face higher price responses to unexpected earnings information. These results are robust to including firms that have changed their listing (i.e., from NASDAQ to NYSE) and to controlling for the effect of Regulation FD implemented by the SEC in 2000.
Keywords: Voluntary disclosure, Liquidity, Microstructure, Exchange
JEL Classification: G14
Suggested Citation: Suggested Citation