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Regulation Fair Disclosure and Earnings Information: Market, Analyst, and Corporate ResponsesWarren BaileyCornell University Haitao LiUniversity of Michigan - Stephen M. Ross School of Business; Cheung Kong Graduate School of Business Connie X. MaoTemple University - Fox School of Business and Management Rui ZhongCheung Kong Graduate School of Business and University of Texas at Arlington March 3, 2003 Abstract: With the adoption of Regulation Fair Disclosure (Reg FD), market behavior around earnings releases displays no significant change in return volatility (after controlling for decimalization of stock trading) but significant increases in trading volume due to difference in opinion. Analyst forecast dispersion increases, and increases in other measures of disagreement and difference of opinion suggest greater difficulty in forming forecasts beyond the current quarter. Corporations increase the quantity of voluntary disclosures, but only for current quarter earnings. Thus, Reg FD seems to increase the quantity of information available to the public while demanding more effort and struggle from investment professionals.
Number of Pages in PDF File: 50 Keywords: Regulation Fair Disclosure, Reg FD, earnings announcements, market reaction, event study JEL Classification: G18, G14, G29, K22, M41, M45 working papers seriesDate posted: April 1, 2003Suggested CitationContact Information
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