Abstract

http://ssrn.com/abstract=1344826
 
 

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Market Reaction Surrounding the Filing of Periodic SEC Reports


Edward Xuejun Li


City University of New York (CUNY) - Stan Ross Department of Accountancy

K. Ramesh


Rice University


Accounting Review, Vol. 84, No. 4, pp. 1171-1208, July 2009

Abstract:     
Using data from the EDGAR era, we find a significant market reaction surrounding quarterly periodic reports only when their filing coincides with the first public disclosure of earnings, although that for 10-K reports is not subsumed by earnings releases. However, after eliminating incidence of concurrent earnings releases, the 10-K market reaction is restricted to a quarter of the reports that are filed around calendar quarter-ends. The calendar quarter-end price and volume effects are unrelated to the filing of periodic reports and are not explained by self-selection. However, while the quarter-end volume reaction is indistinguishable between filers and non-filers, we find an incremental price reaction to 10-K filings at calendar quarter-ends in recent times. We provide evidence that the calendar-time effect is partially due to an intra-industry information transfer that is a function of the incidence of 10-K reports at quarter-ends. Finally, equity analyst reactions are muted around periodic filings, with no evidence that they contribute to quarter-end information transfer.

Number of Pages in PDF File: 49

Keywords: periodic SEC reports, market reaction, concurrent earnings release, calendar quarter-end effect

JEL Classification: G14, G38, G29, K22, M41

Accepted Paper Series


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Date posted: February 22, 2009 ; Last revised: February 29, 2012

Suggested Citation

Li, Edward Xuejun and Ramesh, K., Market Reaction Surrounding the Filing of Periodic SEC Reports. Accounting Review, Vol. 84, No. 4, pp. 1171-1208, July 2009. Available at SSRN: http://ssrn.com/abstract=1344826

Contact Information

Edward Xuejun Li
City University of New York (CUNY) - Stan Ross Department of Accountancy ( email )
One Bernard Baruch Way, Box B12-225
New York, NY 10010
United States
646-312-3235 (Phone)
K. Ramesh (Contact Author)
Rice University ( email )
236 McNair Hall
Jones Graduate School of Business
Houston, TX 77005
United States
713.348.5380 (Phone)
713.348.6296 (Fax)
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