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The Impact of Regulation Fair Disclosure on Information Asymmetry and Trading: An Intraday Analysis
Author(s) -
Chiyachantana Chiraphol N.,
Jiang Christine X.,
Taechapiroontong Nareerat,
Wood Robert A.
Publication year - 2004
Publication title -
financial review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.621
H-Index - 47
eISSN - 1540-6288
pISSN - 0732-8516
DOI - 10.1111/j.0732-8516.2004.00088.x
Subject(s) - earnings , market liquidity , information asymmetry , business , monetary economics , institutional investor , economics , financial system , accounting , finance , corporate governance
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.