Is there less infonned trading after regulation fair disclosure?

被引：25

作者：

Collver, Charles D. ^{[1
]}

机构：

[1] Nova SE Univ, H Wayne Huizenga Grad Sch Business & Entrepreneur, Ft Lauderdale, FL 33314 USA

来源：

JOURNAL OF CORPORATE FINANCE | 2007年 / 13卷 / 2-3期

关键词：

earning announcements; informed trading; regulation; summary informativeness;

D O I：

10.1016/j.jcorpfin.2006.11.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

I provide new tests of regulatory impact on informed trading in the stock market. After the implementation of Reg FD there is a significant decrease in the Hasbrouck [Hasbrouck, J., 1991a. The summary informativeness of stock trades: an econometric analysis. Review of Financial Studies 4, 571-595.] summary informativeness statistic, a measure of informed trading based on intra-daily trade level data. But, the switch to decimalization on the New York Stock Exchange has a much larger impact on this measure. These results highlight the difficulty in attributing specific effects to broad based regulatory events. (c) 2006 Elsevier B.V. All rights reserved.

引用

页码：270 / 281

页数：12

共 24 条

[1]

AGRAWAL A, IN PRESS J BUSINESS, V79

[2] The impact of Regulation Fair Disclosure on investors' prior information quality - Evidence from an analysis of changes in trading volume and stock price reactions to earnings announcements [J].