The Impact of Regulation Fair Disclosure on Information Asymmetry and Trading: An Intraday Analysis

38 Pages Posted: 4 May 2009 Last revised: 12 Nov 2013

See all articles by Chiraphol N. Chiyachantana

Chiraphol N. Chiyachantana

Singapore Management University; Singapore Management University - Lee Kong Chian School of Business

Christine X. Jiang

Fudan University

Nareerat Taechapiroontong

Mahidol University - College of Management

Robert Wood

University of Memphis - Fogelman College of Business and Economics

Date Written: December 2004

Abstract

This study examines the impact of Regulation Fair Disclosure (FD) on liquidity, information asymmetry, and institutional and retail investors trading behavior. Our main findings suggest three conclusions. First, Regulation FD has been effective in improving liquidity and in decreasing the level of information asymmetry. Second, retail trading activity increases dramatically after earnings announcements, but there is a significant decline in institutional trading surrounding earnings announcements, particularly in the pre-announcement period. Last, the decline in information asymmetry around earnings announcements is closely associated with a lower participation rate in the pre-announcement period and more active trading of retail investors after earnings releases.

Keywords: Regulation fair disclosure, volatility, liquidity, adverse selection costs

JEL Classification: G30, G34

Suggested Citation

Chiyachantana, Chiraphol N. and Jiang, Christine X. and Taechapiroontong, Nareerat and Wood, Robert A., The Impact of Regulation Fair Disclosure on Information Asymmetry and Trading: An Intraday Analysis (December 2004). Available at SSRN: https://ssrn.com/abstract=572321

Chiraphol N. Chiyachantana

Singapore Management University ( email )

Lee Kong Chian School of Business
50 Stamford Road
Singapore, 178899
Singapore
65-6828-0776 (Phone)
65-6828-0427 (Fax)

Singapore Management University - Lee Kong Chian School of Business ( email )

469 Bukit Timah Road
Singapore 912409
Singapore

Christine X. Jiang (Contact Author)

Fudan University ( email )

School of Management
Shanghai, 200433
China
862125011085 (Phone)

Nareerat Taechapiroontong

Mahidol University - College of Management ( email )

College of Management Mahidol University
69 Vipawadee Rangsit Road
Phayathai, Bangkok 10400
Thailand
+66 22062000 (Phone)
+66 22062090 (Fax)

Robert A. Wood

University of Memphis - Fogelman College of Business and Economics ( email )

Memphis, TN 38152
United States
901-678-2670 (Phone)
901-678-3006 (Fax)

HOME PAGE: http://www.people.memphis.edu/~rwood/

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