Abstract

http://ssrn.com/abstract=1940675
 
 

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Priority Dissemination of Public Disclosures


Bei Dong


University of South Florida - School of Accountancy

Edward Xuejun Li


City University of New York (CUNY) - Stan Ross Department of Accountancy

K. Ramesh


Rice University

Min Shen


City University of New York (CUNY) - Stan Ross Department of Accountancy; George Mason University

July 10, 2014


Abstract:     
This study examines a practice of press release firms in the pre-Reg FD era that gave a broad group of sophisticated market participants 15-minute earlier access to all corporate press releases than the general public. We find that this practice contributed to 22 percent of the overall price discovery due to exclusionary access prior to public release of earnings, and that the impact of priority dissemination increased to over 50 percent for firms announcing earnings during regular trading hours. In addition, for earnings announced during regular or extended trading hours, we find evidence that transient institutions took advantage of the priority dissemination, especially when the earnings contained good news. Finally, consistent with economic theory, we find that bid-ask spreads decreased post Reg FD for firms that had sufficient market liquidity to engender immediate price discovery during the 15-minute priority dissemination window. Our study has implications for current discussions on whether preferential information distribution by firms and information intermediaries would create uneven playing field among investors.

Number of Pages in PDF File: 50

Keywords: Information distribution; Earnings press releases; Intraday market reaction; Regulation Fair Disclosure; Market Microstructure

JEL Classification: D82, G14, K22, M45

working papers series


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Date posted: October 9, 2011 ; Last revised: August 21, 2014

Suggested Citation

Dong, Bei and Li, Edward Xuejun and Ramesh, K. and Shen, Min, Priority Dissemination of Public Disclosures (July 10, 2014). Available at SSRN: http://ssrn.com/abstract=1940675 or http://dx.doi.org/10.2139/ssrn.1940675

Contact Information

Bei Dong
University of South Florida - School of Accountancy ( email )
4202 E. Fowler Avenue, BSN 3403
Tampa, FL 33620-5500
United States
813-974-0154 (Phone)
Edward Xuejun Li (Contact Author)
City University of New York (CUNY) - Stan Ross Department of Accountancy ( email )
One Bernard Baruch Way, Box B12-225
New York, NY 10010
United States
646-312-3235 (Phone)
K. Ramesh
Rice University ( email )
236 McNair Hall
Jones Graduate School of Business
Houston, TX 77005
United States
713.348.5380 (Phone)
713.348.6296 (Fax)
Min Shen
City University of New York (CUNY) - Stan Ross Department of Accountancy ( email )
One Bernard Baruch Way, Box B12-225
New York, NY 10010
United States
646-312-3230 (Phone)
George Mason University ( email )
MSN 5F4 115 Enterprise Hall
School of Management
Fairfax, VA 22030
United States
703-993-1849 (Phone)
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