Robert Parham @kn.owled.ge · 24/08/2025Link: academic.oup.com/rof/article/...academic.oup.comIs news really news? The effects of selective disclosure regulationsAbstract. Before regulations were enacted to prevent such practices, information leaked through selective disclosure was incorporated into markets prior to 000
Robert Parham @kn.owled.ge · 24/08/2025PS FAQ: “Wasn’t insider trading illegal long before 2001?” Yes. Trading on inside info has been illegal for decades. What changed is that selectively giving material nonpublic info to outsiders (who might then trade) became a problem for *the firm* under fair-disclosure rules. 100
Robert Parham @kn.owled.ge · 24/08/2025TL;DR: Fair disclosure made news days matter again. Prices now jump around when the news is public, not when it’s whispered. 100
Robert Parham @kn.owled.ge · 24/08/20253. Show that fair-disclosure rules re-centered information release on public announcements, nudging markets, by design, to *reduce* efficiency from “strong-form” toward "semi-strong-form" efficiency. 100
Robert Parham @kn.owled.ge · 24/08/20252. Unify familiar empirical proxies (R², idiosyncratic vol, mean-absolute deviations, turnover) under one coherent, model-based measurement of informed trading, yielding a cleaner, better-scaled metric across time and markets. 100
Robert Parham @kn.owled.ge · 24/08/2025Along the way, we: 1. Generalize Kyle (1985) to a noisy private signal so the binary distinction of “informed vs. uninformed” becomes a continuum of informedness. 100
Robert Parham @kn.owled.ge · 24/08/2025One implication: a lot of finance/accounting work that leans on “news days” (especially earnings announcements) pre-2001 deserves re-evaluation, as “news days” weren’t truly news. 100
Robert Parham @kn.owled.ge · 24/08/2025Before that, “news” often wasn’t news: material info leaked to favored listeners, got traded on privately, compounded into prices, and by announcement time… there was little left to move. 100
Robert Parham @kn.owled.ge · 24/08/2025What changed? Regulation. The U.S. adopted Regulation Fair Disclosure (Reg FD) around 2001, and Europe followed with the Market Abuse Directive (MAD) around 2005. These rules prohibit selective briefings of outsiders. 100
Robert Parham @kn.owled.ge · 24/08/2025Translation: after those dates, news days started to matter a lot more for firm-specific prices, and markets started behaving the way Roll expected. 100
Robert Parham @kn.owled.ge · 24/08/2025We track the gap between news-day and non-news-day firm-specific volatility across four markets (U.S., Europe, Japan, Australia), 1980–2018. The gap jumps ~5× in the U.S. around 2001 and in Europe around 2005, but is flat in Japan and Australia. 100
Robert Parham @kn.owled.ge · 24/08/2025Back in 1988, Richard Roll pointed to a puzzle: stock returns on news days didn’t look much different from non-news days. If public announcements move prices and non-news is mostly noise, why weren’t announcement days much more volatile? The “R² puzzle” was born and lingered for decades. 100
Robert Parham @kn.owled.ge · 24/08/2025Story time! Let’s celebrate winning the Review of Finance 2025 Best Investment Paper Award with a story about insider trading, a classic puzzle, financial regulation, news, and the differences between U.S./Europe and Japan/Australia. 100
Robert Parham @kn.owled.ge · 17/12/2024Given that AI can do it so well, I’m guessing human researchers could have been doing it just as well for some time, as in Novy-Marx 2014 🙃 010
Robert Parham @kn.owled.ge · 17/12/2024Cool results that raise interesting questions about a swath of asset pricing papers. Also really like the assaying framework they use. 051
Reposted by Robert ParhamMihail Velikov @mvelikov.bsky.social · 17/12/2024An academic paper has excellent empirical evidence & hypotheses that perfectly match the patterns in the data. One catch: AI wrote the hypotheses after seeing the results. Should this matter? New paper w/ Robert Novy-Marx on AI-Powered (Finance) Scholarship🧵 papers.ssrn.com/sol3/papers.... 5246
Robert Parham @kn.owled.ge · 28/11/2024Still trying to figure it out: can you explain the broad-based practical application of Gold and why Fort Knox exists? 000
Reposted by Robert ParhamMax Roser @maxroser.bsky.social · 27/11/2024Few people even know about this; when people are asked in surveys how child mortality has changed the majority says it has stagnated or increased. If you consider that many don't know about humanity's biggest achievement, then it's not surprising that many are so pessimistic about our future. 361490500
Robert Parham @kn.owled.ge · 23/11/2024If you resort to claiming lack of knowledge on my side without knowing pretty much anything about me, I'd say there's a bit of smugness problem going on... 000
Robert Parham @kn.owled.ge · 23/11/2024There's a difference in your mind ("how things should be"); not in reality ("how things are"). 100
Robert Parham @kn.owled.ge · 23/11/2024Alternatively, those other oligarchs were putting it in the service of the previous ruling party, as the media-politics nexus worked for millennia. 100
Robert Parham @kn.owled.ge · 19/11/2024 את יכולה לייצר פיד משלך, שמחקה את הפיד הראשי אבל מכבה ריטוויטים של יוזר ספציפי. SkyFeed is your friend. 110
Robert Parham @kn.owled.ge · 18/11/2024Glad I found you in this new place, Todd. Your signal to noise ratio is unreal. 100
Robert Parham @kn.owled.ge · 17/11/2024Yeah, the starter packs are great! Just discovered them yesterday :) 010
Robert Parham @kn.owled.ge · 15/11/2024Or are we all just busy dumping on the other place? Bring me #econtwitter or bring me (online) death! 100
Robert Parham @kn.owled.ge · 15/11/2024A year ago, I asked about how to find #econtwitter. I got three likes and zero responses. Given that everyone seems to be here now, I'll ask again. Maybe someone can enlighten me. I want to post about papers and ideas and interact with fellow academics. X is clearly no longer the place. Is it here? 310
Robert Parham @kn.owled.ge · 30/11/2023main( ) { printf("hello, world"); } Begrudgingly joined The Flight of the Intellectuals™ Is there an #econtwitter list anyone can recommend? Thx! 040