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http://ssrn.com/abstract=1633588
 
 

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The Role of Newswires in Screening and Disseminating Value-Relevant Information in Periodic SEC Reports


Edward Xuejun Li


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

K. Ramesh


Rice University

Min Shen


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

April 20, 2010

Accounting Review, Vol. 86, No. 2, pp.. 669-701, March 2011

Abstract:     
We examine the role of newswires in identifying and conveying market-moving information in periodic SEC reports to capital market participants. Using data on Dow Jones Newswires, we find that newswires are more likely to send alerts on firms not releasing preliminary earnings, having credit ratings, included in major market indices, with litigation exposure, or reporting losses. Reflective of the market’s focus on certain key events, firms with a nonstandard audit opinion, in the process of delisting, reporting unusual accounting items, or raising equity capital also receive alerts. Moreover, not only do we find significant price and volume reactions to the alerts at the daily level, but also we document immediate intra-day market activity triggered by the alerts, whereas no similar reaction is found for SEC filings that trigger the alerts. Additional analysis suggests that the intra-day reaction is not driven by noise trading.

Number of Pages in PDF File: 49

Keywords: Information Intermediaries, Newswires, Periodic SEC Reports, Information Dissemination, Market Microstructure

JEL Classification: G14, M40

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Date posted: July 3, 2010 ; Last revised: March 10, 2011

Suggested Citation

Li, Edward Xuejun and Ramesh, K. and Shen, Min, The Role of Newswires in Screening and Disseminating Value-Relevant Information in Periodic SEC Reports (April 20, 2010). Accounting Review, Vol. 86, No. 2, pp.. 669-701, March 2011. Available at SSRN: http://ssrn.com/abstract=1633588

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)
Min Shen
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
646-312-3230 (Phone)
George Mason University ( email )
MSN 5F4 115 Enterprise Hall
School of Management
Fairfax, VA 22030
United States
703-993-1849 (Phone)
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