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
Final published version
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
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TY - JOUR
T1 - Do measurement-related fair value disclosures affect information asymmetry?
AU - Vergauwe, Skralan Nancy
AU - Gaeremynck, Ann
N1 - 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
PY - 2019/1/2
Y1 - 2019/1/2
N2 - 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.
AB - 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.
KW - fair value
KW - investment property
KW - measurement-related disclosure
U2 - 10.1080/00014788.2018.1434608
DO - 10.1080/00014788.2018.1434608
M3 - Journal article
VL - 49
SP - 68
EP - 94
JO - Accounting and Business Research
JF - Accounting and Business Research
SN - 0001-4788
IS - 1
ER -