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The Impact of International Financial Reporting Standards on Market Microstructure in Europe

Author

Listed:
  • M. Lambert
  • G. Hübner

    (HEC Management School - University of Liège)

  • P.-A. Michel
  • H. Olivier

Abstract

By 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.

Suggested Citation

  • M. Lambert & G. Hübner & P.-A. Michel & H. Olivier, 2006. "The Impact of International Financial Reporting Standards on Market Microstructure in Europe," LSF Research Working Paper Series 06-02, Luxembourg School of Finance, University of Luxembourg.
    • Handle: RePEc:crf:wpaper:06-02
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    References listed on IDEAS

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    More about this item

    Keywords

    IFRS value relevance; volatility; liquidity; bid-ask spread; risk-return profile; cusum of squares test.;
    All these keywords.

    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; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • M41 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Accounting

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