Got information? Investor response to Form 10-K and Form 10-Q EDGAR filings

• 成果类型: Article
• 署名作者: Griffin, PA
• 署名单位: University of California System; University of California Davis
• 刊物名称: REVIEW OF ACCOUNTING STUDIES
• ISSN/ISSBN: 1380-6653
• DOI: 10.1023/A:1027351630866
• 发表日期: 2003
• 页码: 433-460
• 关键词: VALUE-RELEVANCE; Cash flows; earnings; price; accruals; POWER

摘要

This study examines the investor response to Form 10-K and 10-Q reports filed between 1996 and 2001. The samples comprise essentially the entire body of EDGAR filings, including the small business (SB) versions of each filing type. The study documents that the absolute value of excess return is reliably greater on the day of and on the one or two days immediately following the filing date. The response is stronger around a 10-K date than a 10-Q date, more elevated for delayed filers, and increases significantly over the study period for both filing types. A regression analysis indicates that differences in response due to filing delay and year of filing are not subsumed by other attributes of the information environment, such as changes in industry composition, day of week, market capitalization, and shares held by institutions.