The Impact Of Regulation Fair Disclosure On The Stock Market Information Asymmetry

In order to further standardize the information disclosure of listed companies, ensure thefairness of information disclosure, protect investors’ legitimate rights and interests, theShenzhen Stock Exchange Main Board released “guidelines on fair information disclosure oflisted companies” on August9,2006. It stated the concept of “fair disclosure of information”for the first time. As early as August2000, the Securities and Exchange Commission (SEC)has passed the “fair disclosure” bill to ensure that small and medium investors’ right to know,the independence and objectivity of securities analysts’ research reports. At that time, theproponents argue that the RFD can break the monopoly of information, reducing informationasymmetry in the market, while the opponents argue that the RFD will cause a decline inmarket efficiency, which is not conducive to improve the market information asymmetry. Thispaper attempts to study the impact of the implementation of RFD on China’s securities marketinformation asymmetry by an empirical analysis.This article studies the impact of Regulation Fair Disclosure（RFD）on the stock marketinformation asymmetry taking constituent stocks in Shenzhen Securities Exchange as a sample.By calculating the adverse selection cost, and then regress it with liquidity indicators such asthe closing price and turnover rate, taking into account the effect of the earningsannouncement, the weekend effect, and we found that: the implementation of RFDsignificantly reduce the adverse selection cost, indicating that the regulation is conducive tothe reduction of stock market asymmetric information. Meanwhile, the empirical results alsoshow that there is more informed trading during the post earnings announcement periodrelative to the non-announcement period; and in the pre RFD era, there is either no change or adecline in informed trading during the post earnings announcement period relative to thenon-announcement period, which support the conclusion furthermore. Based on this, thisarticle proposes some policy suggestions to improve the RFD.