Filing speed, information leakage, and price formation

Jeffrey L. Callen (), Ron Kaniel and Dan Segal ()
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Jeffrey L. Callen: University of Toronto
Dan Segal: Reichman University (formerly Interdisciplinary Center Herzliya)

Review of Accounting Studies, 2023, vol. 28, issue 3, No 14, 1618-1656

Abstract: Abstract This study investigates the price discovery process in equity markets with informed institutional investors. Consistent with extant theories, we show empirically that institutional investors, in contrast to retail investors, trade based on the leaked sign of unanticipated news and then (partially) reverse their trades when the news become public. We also find that the longer the leakage period for institutional investors to exploit, the less informative the news is when it becomes public. These results are robust to controls for firm press releases and news articles and endogeneity concerns.

Keywords: Filing lag; Institutional trading; 8 K reports; Private information; M41; G10 (search for similar items in EconPapers)
Date: 2023
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Working Paper: Filing Speed, Information Leakage, and Price Formation (2021)
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DOI: 10.1007/s11142-022-09673-5

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