원문정보
초록
영어
The Regulation Fair Disclosure of 1999 (FD) intends to promote the full and fair disclosure of price information and further prevent insider trading. As a result, the public investors are expected to be empowered with more quality and relevant information. This study examines a behavioral shift in investor reaction to quarterly earnings announcements after the passage of the FD due to the expected improvement in information asymmetry. The empirical findings suggest that investors show a behavioral shift after the FD in response to biased earnings forecasts. Investors become more active in that they place a discount on optimistic earnings forecasts during the earnings announcement period. It is less obvious that they place a premium on pessimistic forecasts. Another coherent finding is that investors attempt to correct for the announcement-period mis-adjustments during the post-announcement period.
목차
1. Introduction
2. Regulation FD and Informational Efficiency
2.1 Theoretical View
2.2 Empirical Evidence in Prior Studies
3. Data and Portfolio Construction
4. Research Design and Hypothesis Development
5. Empirical Results
5.1. Descriptive Analysis
5.2. Pooled Regression Analysis
5.3. Robustness Checks: Random and Fixed Effects Models
6. Conclusions
Figure
Table
References