Doctoral thesis

Asymmetric information, disclosure, and liquidity : The Swiss evidence


150 p

Thèse de doctorat: Università della Svizzera italiana, 2008 (jury note: magna cum laude)

English The existence of asymmetric information amongst market’s agents determines consequences and behaviour that can impact investors’ decision processes. This thesis is an empirical analysis of some of this consequences. It is composed of three integrated essays. The first two investigate the impact on the firm’s cost of capital and on the firm’s trading liquidity from a reduction in the asymmetric information levels, while the last one focuses on how the presence of asymmetric information amongst investors influences trading liquidity trends before scheduled announcements. Swiss firms listed at SWX are used at analysis’s sample. OLS cross analysis with self selection corrections is used in the first essay while panel data analysis of firm fixed effects model are used in the last two. Results can been summarized in two groups. The first one reports significant evidence that listed firms that adopt an international accounting strategy benefit from a reduction in the cost of capital as a consequence of a reduction in the asymmetric information level amongst firms and shareholders. Moreover, the magnitude of the decrease is higher for greater levels of asymmetric information. The second one reports evidence of a significant decrease in trading liquidity prior to earnings announcements. However, in contrast with the theoretical prediction, it is not observed significant evidence that the decrease is due do the existence of asymmetric information amongst investors.
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