@article {1973266, title = {The efficiency of international information flow: Evidence from the ETF and CEF Prices}, journal = {International Review of Financial Analysis}, volume = {18}, year = {2009}, month = {2009}, pages = {40-49}, abstract = {While similar in their trading and organization, closed-end funds (CEFs) and exchange-traded funds (ETFs) differ in their liquidity and ease of arbitrage. We compare their price transmission dynamics using a sample of funds that invest in foreign securities and are most likely to show the deficiencies in the manner in which they process information. Our analysis shows that ETF returns are more closely related to their portfolio returns than CEF returns. However, both fund types underreact to portfolio returns but overreact to domestic stock market returns. A simple trading strategy using these results is profitable with roundtrip trading costs less than 1.38\% for CEFs and 0.71\% for ETFs.}, keywords = {Finance}, author = {Hughen,C. and Mathew,Prem} } @article {1973301, title = {A Re-examination of Information Flow in Financial Markets: The Impact of Reg FD and Decimalization}, journal = {Quarterly Journal of Finance and Accounting}, volume = {43}, year = {2004}, month = {2004}, pages = {123-147}, abstract = {We investigate the impact of Regulation FD on information flow in the equities market. Our analysis indicates that information flow around earnings announcements, proxied by abnormal return volatility around those announcements, of U.S. stocks increased in the first effective quarter of Regulation FD (the fourth quarter of 2000). The information flow of ADRs, which are exempt from Regulation FD, does not change. This supports the inference that Regulation FD, not general market conditions, caused the increase in volatility, but Regulation FD did not have a persistent impact on information flow. A multivariate regression analysis shows that our results are robust to controls that include decimalization, which was implemented concurrently with Regulation FD and has reduced return volatility. Our comparison of return volatilities across firm size indicates that small firms temporarily had larger return volatilities, thus Regulation FD only temporarily had a differential impact on the information environment of small firms.}, keywords = {Finance}, author = {Mathew,Prem and Hughen,C. and Ragan,K.} }