Effect of regulation FD on disclosures of information by firms

Edward Lawrence, Gordon Karels, Arun Prakash and Siddharth Shankar

Applied Financial Economics, 2011, vol. 21, issue 13, 979-996

Abstract: Critics of Regulation Fair Disclosure (FD) have argued that its enactment would result in not only a decrease in asymmetric information but a decrease in total amount of information disclosed by firms. We investigate this conjecture and find (1) no change in market risk premium, (2) an increase in risk premiums for size and (3) an increase in the distress risk premium in the post-FD period. These findings lead us to conclude that in the post-FD period there is a significant decrease in the dissemination of (1) overall information by small firms and (2) unfavourable information by firms in general.

Keywords: regulation FD; disclosure of information; Fama-French three-factor model; structural changes (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1080/09603107.2011.560107

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