The Impact of Disclosure Reform on the NZX's Financial Information Environment

This study investigates the impact of amendments to the New Zealand Exchange's listing rules and the Securities Markets Act 1988 enacted in December 2002. These reforms provided statutory backing for a continuous disclosure listing rule requiring companies to immediately release all price-sensitive information to investors. We follow the methodology employed by Helfin et al. (2003) to test the impact of Regulation FD in the US. Our results show that under New Zealand's continuous disclosure regime analysts' earnings forecast errors did not decline but that analysts' forecasts showed less dispersion in the post-reform period. In respect of informational efficiency we find a smaller abnormal return around the annual earnings announcement date in the post-reform period for small companies. Our results suggest that the reforms have improved the flow of information to investors consistent with the intent of the reform

The Impact of Disclosure Reform on the NZX's Financial Information Environment

This study investigates the impact of amendments to the New Zealand Exchange's listing rules and the Securities Markets Act 1988 enacted in December 2002. These reforms provided statutory backing for a continuous disclosure listing rule requiring companies to immediately release all price-sensitive information to investors. We follow the methodology employed by Helfin et al. (2003) to test the impact of Regulation FD in the US. Our results show that under New Zealand's continuous disclosure regime analysts' earnings forecast errors did not decline but that analysts' forecasts showed less dispersion in the post-reform period. In respect of informational efficiency we find a smaller abnormal return around the annual earnings announcement date in the post-reform period for small companies. Our results suggest that the reforms have improved the flow of information to investors consistent with the intent of the reform

Maternal Alcohol Consumption During Pregnancy and Physical Outcomes up to 5 Years of Age: A Longitudinal Study

Aim To examine whether alcohol exposure in pregnancy affects weight and head circumference (HC) at birth and 5 years, and whether these effects are independent of cigarette exposure in pregnancy and social disadvantage. Study design The Mater-University Study of Pregnancy (MUSP) involves a prospective cohort of 8556 mothers who were enrolled at first antenatal visit. The quantity and frequency of alcohol consumption in early and late pregnancy and a measure of binge drinking in early pregnancy were recorded. Weight and HC were measured on children seen at birth and at 5 years. Level of cigarette use in early pregnancy and maternal age and level of education and family income were also measured. Results Light and moderate alcohol consumption in early or later pregnancy had no independent effects on weight or HC at birth or 5 years. Binge drinking in early pregnancy was not associated with restricted HC, and there was no effect modification by concurrent cigarette use in early pregnancy. An apparent effect of alcohol in late pregnancy on birth weight was due to confounding by cigarette use, with social risk being an independent predictor. Conclusion Alcohol ingestion up to moderate levels in pregnancy was not associated with deficits in either weight or HC at birth or at 5 years

What drives issue spreads on commercial paper?: Evidence from New Zealand commercial paper tenders

Purpose – This paper aims to examine how issue spreads are determined in the New Zealand commercial paper market both before and after the onset of the global financial crisis. Design/methodology/approach – This paper uses regression analysis on data from 1,340 commercial paper tenders conducted by 26 issuers between mid-2003 and mid-2011 to explore how credit risk and liquidity factors impact on issue spreads. Findings – Prior to March 2008, issue spreads are higher when issuers have a weaker credit rating, risk aversion is high and investor appetite for the issue is low. There is no term premium in issue spreads. After March 2008, credit ratings have no influence on issue spreads, while the influence of risk aversion is weaker. Issue spreads are more sensitive to the investor appetite and the term of the issue. Investors assign higher spreads to issues made by securitisation conduits despite these entities retaining the highest possible short-term credit rating, reflecting the erosion of confidence in credit ratings on asset-backed securities. Originality/value – This is the first published study of the New Zealand commercial paper market. The results show that since the onset of the global financial crisis, investor perceptions of credit risk have played a more important role in the determination of issue spreads than short-term credit ratings. This is consistent with a loss of confidence in credit ratings on asset-backed securities

The truth about interest rate futures and forwards: Evidence from high frequency data

This paper examines the pricing of Eurodollar futures and US dollar FRA contracts using a high frequency data set. I find the median futures/FRA differential is close to zero and the dispersion of the differential smaller than reported in prior studies using low frequency data and implied forward rates as proxies for forward rates. Arbitrage opportunities are linked to the presence of stale FRA quotes and the oscillatory behavior of FRA quotes. Inter-market information flows are found to be of much shorter duration than previously reported with the futures market playing the dominant role in the information transmission process in the shorter-dated maturities.

Interest rate futures and forwards: Evidence from the sterling futures and FRA markets

This paper examines the pricing of sterling interest rate futures and forward rate agreement (FRA) contracts using a unique high frequency data set. The futures/FRA differential is close to zero with narrow dispersion, yielding limited arbitrage opportunities when synchronous data are employed. These results compare favorably with those reported in prior studies using low frequency data and implied forward rates. I also find that the information flow between the futures and FRA markets is largely contemporaneous although the futures market dominates the information transmission process in the 3-month maturity.

Do liquidity or credit effects explain the behavior of the BKBM-LIBOR differential?

This paper examines the evolution of the relationship between the onshore and offshore benchmarks for New Zealand dollar funding during the global financial crisis. In August 2007 the BKBM-LIBOR differential switched from positive to negative and then widened considerably following the collapse of Lehman Brothers in September 2008, before narrowing gradually as the turmoil in financial markets subsided. Our structural regression model and decomposition analyses show that changes in liquidity, proxied by bid/ask spreads, largely explain the changes in the BKBM-LIBOR differential over this period and that credit risk factors only played a minor role. However our analysis also shows that bid/ask spreads in the offshore market price information regarding counterparty credit risk, suggesting that our initial results could understate the role played by credit risk factors