Regulation Fair Disclosure and Earnings Information: Market, Analyst, and Corporate Responses

50 Pages Posted: 1 Apr 2003

See all articles by Warren Bailey

Warren Bailey

Cornell University; Fudan University - Fanhai International School of Finance

Haitao Li

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

Rui Zhong

Cheung Kong Graduate School of Business and University of Texas at Arlington

Multiple version iconThere are 2 versions of this paper

Date Written: 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.

Keywords: Regulation Fair Disclosure, Reg FD, earnings announcements, market reaction, event study

JEL Classification: G18, G14, G29, K22, M41, M45

Suggested Citation

Bailey, Warren B. and Li, Haitao and Mao, Connie X. and Zhong, Rui, Regulation Fair Disclosure and Earnings Information: Market, Analyst, and Corporate Responses (March 3, 2003). Available at SSRN: https://ssrn.com/abstract=386381 or http://dx.doi.org/10.2139/ssrn.386381

Warren B. Bailey (Contact Author)

Cornell University ( email )

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Temple University - Fox School of Business and Management ( email )

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Rui Zhong

Cheung Kong Graduate School of Business and University of Texas at Arlington ( email )

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