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  • ABR-2014-0463 R5_271117

    Rights statement: This is an Accepted Manuscript of an article published by Taylor & Francis in Accounting and Business Research on 20/02/2018, available online: http://www.tandfonline.com/10.1080/00014788.1434608

    Accepted author manuscript, 755 KB, PDF-document

    Available under license: CC BY-NC: Creative Commons Attribution-NonCommercial 4.0 International License

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Do measurement-related fair value disclosures affect information asymmetry?

Research output: Contribution to journalJournal article

Published
<mark>Journal publication date</mark>2/01/2019
<mark>Journal</mark>Accounting and Business Research
Issue number1
Volume49
Number of pages27
Pages (from-to)68-94
Publication statusPublished
Early online date20/02/18
Original languageEnglish

Abstract

Using a sample of European real estate firms over the 2007–2010 period, this study provides some evidence that measurement-related fair value disclosures reduce information asymmetry. We find a negative association between the extent of fair value disclosures and the bid-ask spread, but no association with two additional measures of information asymmetry (zero returns and price impact). Contrary to our expectation, we fail to find evidence that firms using model estimates exclusively benefit the most from such additional disclosure. Analysing measurement errors (the absolute difference between the selling price of an asset and its fair value prior to sale), we find that firms that use model estimates exclusively and provide more measurement-related disclosures have lower errors and more accurate fair value estimates. In other words, if our lack of results is due to investors not using this additional disclosure this is to their detriment.

Bibliographic note

This is an Accepted Manuscript of an article published by Taylor & Francis in Accounting and Business Research on 20/02/2018, available online: http://www.tandfonline.com/10.1080/00014788.1434608