This study assesses the impact on price informativeness of the market abuse directive adopted by European economic area member-states. Price informativeness is measured by the future earnings response coefficient that captures the ability of stock prices to reflect firms’ fundamentals and future profitability. A difference-in-differences analysis is performed to compare the evolution of this coefficient in countries that adopted the directive with that of countries from a control group. The preliminary findings suggest a decline in information content of stock prices about firms’ future profitability in the aftermath of the directive’s entry-into-force. Further exploration suggests however that the detrimental impact is concentrated on countries that neither improved the quality of enforcement regimes nor reinforced the supervisory powers and resources available to national financial authorities following the Directive’s adoption. The pre-existing state of the legal framework has also influenced the obtained results. The impact was particularly detrimental in countries with weaker legal institutions that did not undertake a shift in enforcement with respect to the new law, suggesting that the negative influence of inefficient bureaucracy and weak legal institutions on price informativeness was exacerbated by the adoption of the new rules.

这项研究评估了欧洲经济区成员国通过的市场滥用指令对价格信息的影响。价格信息性由未来收益响应系数来衡量，该系数反映了股票价格反映企业基本面和未来盈利能力的能力。进行了差异分析，以比较采用该指令的国家和对照组中该系数的演变。初步调查结果表明，该指令生效后，有关公司未来获利能力的股票价格信息含量下降。但是，进一步的研究表明，有害影响主要集中在既未提高执行制度质量又未增强指令通过后国家金融机构可用的监督权和资源的国家。法律框架的既存状态也影响了所获得的结果。对于法律制度薄弱的国家而言，其影响尤其有害，这些国家没有对新法律进行执法转变，这表明，采用新规则加剧了官僚机构效率低下和法律制度薄弱对价格信息性的负面影响。 。法律框架的既存状态也影响了所获得的结果。对于法律制度薄弱的国家而言，其影响尤其有害，这些国家没有对新法律进行执法转变，这表明，采用新规则加剧了官僚机构效率低下和法律制度薄弱对价格信息性的负面影响。 。法律框架的既存状态也影响了所获得的结果。对于法律制度薄弱的国家而言，其影响尤其有害，这些国家没有对新法律进行执法转变，这表明，采用新规则加剧了官僚机构效率低下和法律制度薄弱对价格信息性的负面影响。 。