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

May 2, 2013

Simon School Working Paper No. FR 11-28

Abstract:     
We examine an SEC-sanctioned practice in the pre-Reg FD era that created an institutionalized channel for disseminating all corporate press releases to a broad group of sophisticated market participants 15 minutes earlier than to the general public. We find that this channel contributed to 19 percent of the overall price discovery due to information leakage prior to earnings releases. In addition, firms announcing earnings during (outside of) regular trading hours relied heavily (little) on the institutionalized channel for information leakage. Consistent with their disclosure incentives, firms used the institutionalized channel by strategically choosing the time-of-day to announce earnings. Finally, consistent with economic theory, we find that bid-ask spread (intraday volatility) decreased (increased) post Reg FD for those firms that had used theinstitutionalized priority dissemination channel.

Number of Pages in PDF File: 52

Keywords: Information leakage channels, Earnings press releases, Intraday market reaction, Regulation Fair Disclosure, Market Microstructure

JEL Classification: D82, G14, K22, M45

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Date posted: October 9, 2011 ; Last revised: May 5, 2013

Suggested Citation

Dong, Bei and Li, Edward Xuejun and Ramesh, K. and Shen, Min, Priority Dissemination of Public Disclosures (May 2, 2013). Simon School Working Paper No. FR 11-28. 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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