Disclosure is of fundamental interest to accounting research. When the sign/magnitude of disclosed news is unclear, the information in disclosure events is inferred using the ratio of return volatilities during event and non-event windows (Beaver, 1968). We show that return noise due to microstructure frictions and mispricing affects this ratio and that effect is comparable to or exceeds that of information content. We use the SEC’s Tick Size Pilot program to confirm the causal effect of return noise on the ratio, and to evaluate alternative ways to control for it. The most promising approach is to use the difference between, rather than the ratio of, return volatilities during event and non-event windows. We illustrate its benefits by showing how it alters prior inferences regarding time-series and cross-sectional variation in information content as well as changes in the information content of earnings announcements around the 2004 amendments to Form 8-K filings.

中文翻译：

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衡量披露的信息内容：返回噪声的作用

披露是会计研究的根本利益。当披露新闻的符号/大小不明确时，披露事件中的信息使用事件窗口和非事件窗口期间的回报波动率比率来推断（Beaver，1968）。我们表明，由于微结构摩擦和定价错误导致的返回噪声会影响该比率，并且该影响与信息内容的影响相当或超过。我们使用 SEC 的 Tick Size Pilot 计划来确认回波噪声对比率的因果影响，并评估控制它的替代方法。最有希望的方法是使用事件窗口和非事件窗口期间的收益波动率之间的差异，而不是比率。