Retail Investors’ Trades Around Comment Letter Disclosures
研究了Robinhood投资者在美国证券交易委员会评论信披露前后的交易行为，发现散户投资者能有效处理非标准化、非定期披露的信息，并据此调整持仓。
ABSTRACT How sophisticated are retail investors in monitoring their holdings? We answer this question by examining Robinhood investors’ trades around the US Securities and Exchange Commission (SEC) comment letter (CL) disclosures. We focus on CLs because, compared to periodic filings, CL disclosures are unscheduled (high search cost) and unstandardized with a significant variation in their content (high processing cost). We find that CLs attract Robinhood investors’ attention, as evidenced by a significant abnormal Google search volume index around CLs disclosure, particularly around more severe CLs. The number of Robinhood investors holding a stock reduces after a firm receives more severe CLs in anticipation of the future decline in stock prices. Our results are (i) robust to addressing the endogeneity concern; (ii) robust to controlling for concurrent information from insider sales, short‐selling activity, Twitter, press, analysts, and other concurrent CLs; and (iii) do not reflect Robinhood investors relying on heuristics in analyzing CLs’ content. Our evidence suggests that retail investors are sophisticated in processing CL disclosures as part of their portfolio monitoring activities.