The Impact of International Financial Reporting Standards on Market Microstructure in Europe
AbstractBy focusing on the investors, IFRS disclosure is intended to support economic guidance. The scope of this study is, therefore, to highlight key indicators for value relevance of the IFRS framework. Through a pan-European event study, we first consider the problem of confidence in investments and convergence in opinions. We deepen our analysis through a close examination of the conjoint evolution of three microstructure indicators: market volatility, liquidity, and bid-ask spread. Then, Cusum of squares tests examine whether IFRS disclosure triggered any shifts in beta and alpha on the German and Euronext markets. This study provides some informative insights regarding the ability of the IFRS to convey information supporting a fair intrinsic risk-return profile of investments.
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Bibliographic InfoPaper provided by Luxembourg School of Finance, University of Luxembourg in its series LSF Research Working Paper Series with number 06-02.
Date of creation: 2006
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IFRS value relevance; volatility; liquidity; bid-ask spread; risk-return profile; cusum of squares test.;
Find related papers by JEL classification:
- D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- M41 - Business Administration and Business Economics; Marketing; Accounting - - Accounting - - - Accounting
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