Filing speed, information leakage, and price formation

• 成果类型: Article
• 署名作者: Callen, Jeffrey L.; Kaniel, Ron; Segal, Dan
• 署名单位: University of Toronto; University of Rochester; Reichman University; Reichman University; University of Warwick
• 刊物名称: REVIEW OF ACCOUNTING STUDIES
• ISSN/ISSBN: 1380-6653
• DOI: 10.1007/s11142-022-09673-5
• 发表日期: 2023
• 页码: 1618-1656
• 关键词: PRIVATE MEETINGS; MARKET

摘要

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.