The Determinants and Consequences of Information Acquisition via EDGAR

• 成果类型: Article
• 署名作者: Drake, Michael S.; Roulstone, Darren T.; Thornock, Jacob R.
• 署名单位: Brigham Young University; University System of Ohio; Ohio State University; University of Washington; University of Washington Seattle
• 刊物名称: CONTEMPORARY ACCOUNTING RESEARCH
• ISSN/ISSBN: 0823-9150
• DOI: 10.1111/1911-3846.12119
• 发表日期: 2015
• 页码: 1128-1161
• 关键词: cross-sectional determinants; PREDISCLOSURE INFORMATION; INSTITUTIONAL OWNERSHIP; MARKET-EFFICIENCY; earnings; announcement; returns; expectations; disclosure; ANALYST

摘要

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.