Priority Dissemination of Public Disclosures

• 成果类型: Article
• 署名作者: Dong, Bei; Li, Edward Xuejun; Ramesh, K.; Shen, Min
• 署名单位: State University System of Florida; University of South Florida; City University of New York (CUNY) System; Baruch College (CUNY); Rice University
• 刊物名称: ACCOUNTING REVIEW
• ISSN/ISSBN: 0001-4826
• DOI: 10.2308/accr-51139
• 发表日期: 2015
• 页码: 2235-2266
• 关键词: regulation fair disclosure; institutional investors; REGULATION FD; pro forma; earnings; INFORMATION; press; media

摘要

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.