Liquidity and information asymmetry around unscheduled mining announcements

摘要

This paper examines liquidity and information asymmetry around unanticipated disclosure events of Australian mining companies. We do so via bid-ask spread decomposition in order to isolate the spread's adverse selection component, around 'progress report' disclosures pertaining to mining activities. We find that abnormal bid-ask spreads rise significantly leading up to progress report announcements, before rapidly dropping following the event. This effect is most pronounced in small firms, and announcements not preceded by another within the prior month. Upon controlling for the spread's liquidity-related component, we find that the abnormal spread significantly increases before initial announcements, with the effect continuing post-announcement for positive surprise events.