Intraday Stock Returns and Investors’ Trading Reactions to Fair Disclosure : An Analysis of the Korean Stock Market

Abstract

Using intraday stock market data from 2002 to 2004, we explore investors’ market responses to corporate disclosure subject to Regulation Fair Disclosure (Reg FD) in Korean stock market. We present three findings. First, stock prices jump up for two minutes right after the release of FD and investors’ abnormal turnover to positive (negative) FDs lasts for about 80 (40) minutes after FD. Second, individual investors’ trading reactions to FDs are stronger than those of institutional investors. Lastly, we find that it is difficult to make profits by using a short-term trading strategy based on positive FDs. Overall, this study provides the implications of intraday market responses to corporate disclosure.