文档介绍：原文:
Regulation Fair Disclosure and the Cost of Adverse Selection
ABSTRACT
Regulation Fair Disclosure (FD), imposed by the Securities and mission in October 2000, was designed to prohibit disclosure of material private information to selected market participants. The informational advantage such select participants gain is unclear. If multiple “insiders” receive identical information, private information is immediately incorporated in price and each insider has zero expected profit. If, on the other hand,Regulation FD has curtailed the flow of information from firms, private information es longer-lived and more valuable. Hence, market makers will demand pensation by widening the adverse ponent of the bid-ask spread. We identify the ponents of the bid-ask spread for a sample of NASDAQ stocks surrounding the implementation of Regulation FD. Controlling for other factors affecting the spread, we find that adverse selection costs increase approximately 36% after Regulation FD. We interpret our finding as Regulation FD failing to achieve one of its desired objectives.
1. Introduction
We estimate the probability of informed trading and the cost of adverse selection in the period surrounding the implementation of Regulation Fair Disclosure (FD) by examining the ponents of market maker bid-ask spreads in the NASDAQ We focus on NASDAQ stocks to avoid the confounding effects of decimalization for New York Stock Exchange (NYSE) stocks, which occurred in proximity to the effective date of Regulation contrast to prior research investigating this issue for NYSE-listed securities(Eleswarapu, Thompson, and Venkataraman [2004]), our evidence indicates, after controlling for other factors affecting the market maker’s spread, Regulation FD has led to an increase in adverse selection costs.
The Securities and mission’s (SEC) Selective Disclosure and Insider Trading Regulation became effective on October 23, In a section
popularly referred to as Regulation F