Abstract
This study uses several panel regression models to test and control for the impacts of firm-specific liquidity, time series dependence, day of the week effects, regulatory changes, and earnings announcement effects on the Hasbrouck (1991a) summary informativeness measure. There is a significant decrease in summary informativeness due to the implementation of Reg FD. However, the switch to penny pricing on the NYSE has an approximately six-fold higher impact on informed trading than the effect of Reg FD. Additionally, the regression models provide little evidence to support the idea that regulation results in a change in informed trading around earnings announcements.
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