The Informativeness of Stale Financial Disclosures

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