2013 Fiscal Year Final Research Report
An empirical study on a diversity of transmission process of corporate information and stock price formation.
| Project/Area Number |
23730318
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Multi-year Fund |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | Kwansei Gakuin University (2012-2013)
Konan University (2011) |
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Principal Investigator |
AMAN Hiroyuki 関西学院大学, 商学部, 教授 (70346906)
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| Project Period (FY) |
2011 – 2013
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| Keywords | ファイナンス |
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| Research Abstract |
We examined the effects of diverse information transmissions on stock price formation. First, we find that corporate disclosure information tends to enhance return volatility while information flows from press media reduce volatility. Second, for the effect of television broadcasting on market liquidity, we find that information from TV widens bid-ask spread, consistent with the increased information asymmetry. TV information is likely to enhance depth measure, suggesting investor recognition effect for corporate information.
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