The Impact of Regulation Fair Disclosure: Trading Costs and Information Asymmetry
研究美国公平披露规则实施后，企业财报公告时的交易成本反映的信息不对称程度下降，小盘股和低流动性股票降幅更明显，且未增加市场波动。
Abstract In October 2000, the Securities and Exchange Commission (SEC) passed Regulation Fair Disclosure (FD) in an effort to reduce selective disclosure of material information by firms to analysts and other investment professionals. We find that the information asymmetry reflected in trading costs at earnings announcements has declined after Regulation FD, with the decrease more pronounced for smaller and less liquid stocks. Return volatility around mandatory announcements is also lower but overall information flow is unchanged when mandatory and voluntary announcements are combined. Thus, the SEC appears to have diminished the advantage of informed investors, without increasing volatility.