The Determinants and Consequences of Information Acquisition via EDGAR
利用2008至2011年SEC的EDGAR服务器网络流量数据，研究了投资者获取SEC文件信息的决定因素及其对资本市场效率的影响，发现EDGAR活动与公司事件、股票表现和信息环境相关，并能提升市场对盈利新闻的效率。
Abstract Using a novel data set that tracks all web traffic on the SEC 's EDGAR servers from 2008 to 2011, we examine the determinants and capital market consequences of investor information acquisition of SEC filings. The average user employs the database very few times per quarter and most users target specific filing types such as periodic accounting reports; a small subset of users employ EDGAR almost daily and access many filings. EDGAR activity is positively related with corporate events (particularly restatements, earnings announcements, and acquisition announcements), poor stock performance, and the strength of a firm's information environment. EDGAR activity is related to, but distinct from, other proxies of investor interest such as trading volume, business press articles, and Google searches. Finally, information acquisition via EDGAR , both to obtain earnings news and to provide context for it, has a positive influence on market efficiency with respect to earnings news. Overall, our results are important because they provide a unique, user‐based perspective on investor access of mandatory disclosures and its impact on price formation.