The Role of Newswires in Screening and Disseminating Value-Relevant Information in Periodic SEC Reports
研究了新闻通讯如何识别和传递SEC报告中的市场敏感信息，发现其警报能引发显著的日内市场反应，而原始SEC文件本身无此效果。
ABSTRACT: We examine the role of newswires in identifying and conveying market-moving information in periodic SEC reports to capital market participants. Using data on Dow Jones Newswires, we find that newswires are more likely to send alerts on firms that do not release preliminary earnings, have credit ratings, are included in major market indices, have litigation exposure, or report losses. Reflective of the market’s focus on certain key events, firms with a nonstandard audit opinion, in the process of delisting, reporting unusual accounting items, or raising equity capital also receive alerts. Moreover, not only do we find significant price and volume reactions to the alerts at the daily level, but also we document immediate intra-day market activity triggered by the alerts, whereas we detect no similar reaction for SEC filings that trigger the alerts. Additional analysis suggests that the intra-day reaction is not driven by noise trading.