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Market Reaction Surrounding the Filing of Periodic SEC Reports
Open accessAbstract
ABSTRACT: Using data from the EDGAR era, we find a significant market reaction surrounding quarterly periodic reports only when their filing coincides with the first public disclosure of earnings, although that for 10-K reports is not subsumed by earnings releases. However, after eliminating incidence of concurrent earnings releases, the 10-K market reaction is restricted to a quarter of the reports that are filed around calendar quarter-ends. The calendar quarter-end price and volume effects are unrelated to the filing of periodic reports and are not explained by self-selection. However, while the quarter-end volume reaction is indistinguishable between filers and non-filers, we find an incremental price reaction to 10-K filings at calendar quarter-ends in recent times. We provide evidence that the calendar-time effect is partially due to an intraindustry information transfer that is a function of the incidence of 10-K reports at quarter-ends. Finally, equity analyst reactions are muted around periodic filings, with no evidence that they contribute to quarter-end information transfer.
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Citations
Cited by
LEUZ, C., & WYSOCKI, P. D. (2016) · Journal of Accounting Research · doi:10.1111/1475-679x.12115 · Cited by 1,760
The Effects of Reporting Complexity on Small and Large Investor Trading
Miller, B. P. (2010) · The Accounting Review · doi:10.2308/accr.00000001 · Cited by 801
The Impact of Information Processing Costs on Firm Disclosure Choice: Evidence from the XBRL Mandate
BLANKESPOOR, E. (2019) · Journal of Accounting Research · doi:10.1111/1475-679x.12268 · Cited by 279
The Effect of Quarterly Report Readability on Information Efficiency of Stock Prices*
Lee, Y. (2012) · Contemporary Accounting Research · doi:10.1111/j.1911-3846.2011.01152.x · Cited by 258
Metadata
- Authors
- Li, E. X., & Ramesh, K.
- Venue
- The Accounting Review
- Publisher
- American Accounting Association
- Published
- 2009-07-01
- Volume
- 84
- Issue
- 4
- Pages
- 1171-1208
- ISSN
- 0001-4826 (ISSN-L)
- 1558-7967
- OpenAlex
- W2058356110
- Cited by
- 175
- References
- 0
- FWCI
- 15.69
- Type
- journal article
- Language
- en
- Open access
- green
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