Publication Type
Journal Article
Version
submittedVersion
Publication Date
11-2004
Abstract
This study examines the impact of Regulation Fair Disclosure (FD) on liquidity, information asymmetry, and institutional and retail investors trading behavior. Our main findings suggest three conclusions. First, Regulation FD has been effective in improving liquidity and in decreasing the level of information asymmetry. Second, retail trading activity increases dramatically after earnings announcements but there is a significant decline in institutional trading surrounding earnings announcements, particularly in the pre‐announcement period. Last, the decline in information asymmetry around earnings announcements is closely associated with a lower participation rate in the pre‐announcement period and more active trading of retail investors after earnings releases.
Keywords
Regulation fair disclosure, volatility, liquidity, adverse selection costs
Discipline
Finance and Financial Management | Portfolio and Security Analysis
Research Areas
Finance
Publication
Financial Review
Volume
39
Issue
4
First Page
549
Last Page
577
ISSN
0732-8516
Identifier
10.1111/j.0732-8516.2004.00088.x
Publisher
Wiley
Citation
CHIYACHANTANA, Chiraphol N.; JIANG, Christine X.; TAECHAPIROONTONG, Nareerat; and WOOD, Robert A..
The Impact of Regulation Fair Disclosure on Information Asymmetry and Trading: An Intraday Analysis. (2004). Financial Review. 39, (4), 549-577.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/708
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1111/j.0732-8516.2004.00088.x