He, G. and Ren, H. M. and Taffler, R. (2022) 'Do enhanced derivative disclosures work? An informational perspective.', Journal of Futures Markets, 42 (1). pp. 24-60.
Firms use derivatives both for hedging and nonhedging purposes. The Statement of Financial Accounting Standards No. 161 (SFAS 161) requires firms to disclose the purposes of their derivatives usage, thereby helping investors to evaluate the effects of derivatives usage on firm performance. Using a hand-collected sample of US listed firms and a difference-in-differences research design, we find that, compared with nonderivative-users, derivative-users compliant with SFAS 161 experience a significantly greater reduction in stock illiquidity and the probability of informed trading in the post-SFAS 161 period, and such impact is evident only for firms with a high degree of investor attention.
|Full text:||Publisher-imposed embargo until 28 September 2023. |
(AM) Accepted Manuscript
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|Publisher Web site:||https://doi.org/10.1002/fut.22275|
|Publisher statement:||This is the peer reviewed version of the following article: He, G., Ren, M.H. & Taffler, R. (2022). Do enhanced derivative disclosures work? An informational perspective. Journal of Futures Markets 42(1): 24-60., which has been published in final form at https://doi.org/10.1002/fut.22275. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions.|
|Date accepted:||12 September 2021|
|Date deposited:||13 September 2021|
|Date of first online publication:||28 September 2021|
|Date first made open access:||28 September 2023|
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