Rex Thompson, Conditioning the Return-Generating Process on Firm-Specific Events: A Discussion of Event Study Methods, The Journal of Financial and Quantitative Analysis, Vol. 20, No. 2 (Jun., 1985), pp. 151-168

Paul H. Malatesta, Rex Thompson, Government Regulation and Structural Change in the Corporate Acquisitions Market: The Impact of the Williams Act, The Journal of Financial and Quantitative Analysis, Vol. 28, No. 3 (Sep., 1993), pp. 363-379

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.

Pete Clarkson, Jose Guedes, Rex Thompson, On the Diversification, Observability, and Measurement of Estimation Risk, The Journal of Financial and Quantitative Analysis, Vol. 31, No. 1 (Mar., 1996), pp. 69-84