Priority Dissemination of Public Disclosures
研究了监管FD实施前，机构投资者提前15分钟获取公司新闻稿对股价发现的影响，发现优先传播导致约八分之一的价格发现来自特权信息，且流动性好的公司价差在监管后缩小。
ABSTRACT This study examines the unintended effects of a pre-Reg FD practice that gave a broad group of sophisticated market participants 15-minute earlier access to all corporate press releases than the general public. We find that roughly one-eighth of the price discovery to earnings announcements issued during regular trading hours was due to privileged access to information in earnings press releases, with the 15-minute priority dissemination contributing to just over 50 percent of price discovery from all privileged access. In addition, we find that transient institutions benefited from priority dissemination, especially when the earnings contained good news. Finally, consistent with economic theory, we find that intraday bid-ask spreads decreased post-Reg FD for firms that had sufficient market liquidity to allow trading opportunities during the 15-minute window. Our study has implications for current discussions on whether preferential information distribution by firms and information intermediaries creates an uneven playing field among investors. Data Availability: The data used in this study are available from the public sources identified in the paper JEL Classifications: D82; G14; K22; M45.