Information Leakage Around SEC Comment Letters
研究发现，在SEC意见函公开前，共同基金会在企业收到意见函后立即进行异常净卖出，且当信息泄露更可能发生或意见函涉及更关键问题时，异常净卖出更显著，这些基金因此避免了未来股价大幅下跌。
We investigate whether sophisticated investors obtain information about Securities and Exchange Commission (SEC) comment letters before the public release date. Specifically, we examine mutual fund trading behavior around dates firms receive a comment letter. We find significant abnormal net selling by mutual funds immediately after a firm receives a comment letter. Additional tests find that abnormal net selling is greater when firms receive a second-round letter, where information leakage is more likely (e.g., firms with high board member connectedness and higher dedicated institutional ownership) and when comment letters address more critical issues (e.g., the need to restate prior results or related party transactions). We also find that funds with high abnormal net selling in the private phase avoid significant future share price declines. In sum, we find consistent evidence that mutual funds appear to trade on information obtained during the private phase of the SEC comment letter process. This paper was accepted by Brian Bushee, accounting. Supplemental Material: Data are available at https://doi.org/10.1287/mnsc.2021.4259 .