Market Reaction Surrounding the Filing of Periodic SEC Reports
研究发现，季度定期报告只有在首次公开披露盈利时才引发显著市场反应，但10-K报告的反应不完全被盈利公告解释；剔除盈利公告后，10-K反应仅出现在日历季度末提交的报告中，且季度末效应部分源于行业内信息传递。
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.