Informational effects of regulation FD: evidence from rating agencies

• 成果类型: Article
• 署名作者: Jorion, P; Liu, Z; Shi, C
• 署名单位: University of California System; University of California Irvine
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2004.05.001
• 发表日期: 2005
• 页码: 309-330
• 关键词: regulation fair disclosure; REGULATION FD; Credit rating agencies; Market reaction; event study

摘要

Regulation Fair Disclosure, implemented on October 23, 2000, prohibits U.S. public companies from making selective, nonpublic disclosures to favored investment professionals. Regulation Fair Disclosure has a number of exclusions, however, including disclosure of nonpublic information to credit rating agencies. As a result, credit analysts at rating agencies have access to confidential information that is no longer made available to equity analysts, potentially increasing the information content of credit ratings. We examine the effect of credit rating changes on stock prices and find that the informational effect of downgrades and upgrades is much greater in the post-FD period. (c) 2004 Elsevier B.V. All rights reserved.