Abstract

http://ssrn.com/abstract=2083812
 


 



The Informativeness of Stale Financial Disclosures


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

June 2012


Abstract:     
Investors have at their fingertips an almost unlimited supply of financial disclosures. Some of these disclosures are recently released, but most have been in the public domain for months or even years. In this study, we evaluate whether such “stale” disclosures continue to be informative to investors. Using a novel dataset that tracks search requests on the SEC EDGAR database, we find evidence that the acquisition of stale disclosures from EDGAR is positively associated with absolute returns and trading volume within the next two hours. We investigate several potential explanations for why investors might find previously released disclosures informative and find evidence consistent with two explanations: first, investors appear to request stale information in order to provide context for new information releases (e.g., earnings announcements, 8-K filings); second, investors appear to request stale information to resolve cases of high prior information uncertainty. We find no evidence that the relation between requests for stale disclosures and market activity is driven by unsophisticated investors. Our results highlight the value of historical disclosures and their archives to equity markets.

Number of Pages in PDF File: 54

Keywords: information acquisition, EDGAR, trading volume

JEL Classification: G12, G14, M41

working papers series


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Date posted: June 13, 2012  

Suggested Citation

Drake, Michael S. and Roulstone, Darren T. and Thornock, Jacob R., The Informativeness of Stale Financial Disclosures (June 2012). Available at SSRN: http://ssrn.com/abstract=2083812 or http://dx.doi.org/10.2139/ssrn.2083812

Contact Information

Michael S. Drake (Contact Author)
Brigham Young University - Marriott School ( email )
United States
Darren T. Roulstone
Ohio State University (OSU) - Fisher College of Business ( email )
2100 Neil Avenue
Columbus, OH 43210-1144
United States

Jacob Thornock
University of Washington - Michael G. Foster School of Business ( email )
Box 353200
Seattle, WA 98195-3200
United States
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