Filing Speed, Information Leakage, and Price Formation

Ron Kaniel, Jeffrey L Callen and Dan Segal

No 16476, CEPR Discussion Papers from C.E.P.R. Discussion Papers

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 is the news 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; 8k reports; Private information (search for similar items in EconPapers)
Date: 2021-08
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Journal Article: Filing speed, information leakage, and price formation (2023)
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