What Investors Want: Evidence from Investors’ Use of the EDGAR Database

Abstract:     
Using a novel dataset that tracks all web traffic on the SEC EDGAR servers, we examine the timing and extent of investors’ revealed preferences for mandatory financial filings. The data reveal that investors request millions of filings from EDGAR each week. The most requested filings include the 10-K, 10-Q, and 8-K, along with insider trading disclosures filed on Form 4. However, many of the filings that are required by the SEC are rarely used by investors. Examining the timing of investor requests, we find that investors commonly request historical disclosures filed in prior periods and that abnormal demand for historical filings is higher when lagged and current abnormal stock returns are lower. Examining firm characteristics associated with the demand for filings, we find that abnormal EDGAR requests are negatively associated with lagged abnormal returns, and positively associated with lagged return volatility, media attention, and the presence of earnings announcements. Thus, we find that investors turn to mandatory financial filings during periods of time when news is released, but more specifically when the news is negative and when there is increased uncertainty about the firm.

Number of Pages in PDF File: 49

Keywords: Mandatory disclosure, Information demand, Information acquisition, EDGAR

JEL Classification: G12, G14, M41

working papers series