Regulation Fair Disclosure and Earnings Information: Market, Analyst, and Corporate Responses
University of Michigan - Stephen M. Ross School of Business; Cheung Kong Graduate School of Business; Cheung Kong Graduate School of Business
Connie X. Mao
Temple University - Fox School of Business and Management
Cheung Kong Graduate School of Business and University of Texas at Arlington
March 3, 2003
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, M45working papers series
Date posted: April 1, 2003
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