The Determinants and Consequences of Information Acquisition via EDGAR
Michael S. Drake
Brigham Young University - Marriott School
Darren T. Roulstone
Ohio State University (OSU) - Fisher College of Business
Jacob R. Thornock
University of Washington - Michael G. Foster School of Business
September 4, 2013
Using a novel dataset that tracks all web traffic on the SEC’s EDGAR servers from 2008-2011, 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 and provide context for earnings news, has a positive influence on market efficiency with respect to earnings news. Overall, our results provide a unique, user-based perspective on investor access of mandatory disclosures and its impact on price formation.
Number of Pages in PDF File: 63
Keywords: Information acquisition, EDGAR, information environment
JEL Classification: G12, G14, M41working papers series
Date posted: February 14, 2012 ; Last revised: October 5, 2013
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