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Effects of financial and non-financial information disclosure on prices’ mechanisms for emergent markets: The case of Romanian Bucharest Stock Exchange

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  • Dima, Bogdan
  • Cuzman, Ioan
  • Dima (Cristea), Stefana Maria
  • Şărămăt, Otilia

Abstract

The issuance of the European Union Regulation (EC) 1606/2002 and the 2007 adoption of the Markets and Financial Instruments Directive in Romania determined us to sett the goal of the present study at investigating the impact of public information disclosure on market values in the case of the Romanian companies listed on Bucharest Stock Exchange. Our focus is mainly on comparing the value relevance of Internet disclosed information provided by annual and interim financial reports and other non-financial news in the decision making process of investors. Consistent with the literature, we anticipate a positive and significant incremental relevance of such information items, even if an important non-uniformity of prices’ adjustments can be expected. In order to have a benchmark for our results, we compare these with the ones specific to a more developed market, the Madrid Stock Exchange. Empirical tests support our research hypothesis according to which there will be a relative incremental value of a higher volume and a better quality of information, reflecting prices’ overreactions even in the case of a market with imperfect trading mechanisms.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 27169.

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Date of creation: Nov 2010
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Handle: RePEc:pra:mprapa:27169

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Keywords: KEY WORDS Disclosure; Valuation; Bucharest Stock Exchange; Madrid Stock Exchange;

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  1. Richard P. Brief, 2007. "Accounting Valuation Models: A Short Primer," Abacus, Accounting Foundation, University of Sydney, vol. 43(4), pages 429-437.
  2. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
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  6. Lutkepohl, Helmut, 2007. "General-to-specific or specific-to-general modelling? An opinion on current econometric terminology," Journal of Econometrics, Elsevier, vol. 136(1), pages 319-324, January.
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