Journal of Corporate Finance Vol. 13 No. 2-3 2007
Is there less informed trading after regulation fair disclosure?
Abstract
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.
- DOI
- 10.1016/j.jcorpfin.2006.11.002
- Volume
- 13
- Issue
- 2-3
- Pages
- 270-281
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref