49 Pages Posted: 22 Feb 2009 Last revised: 29 Feb 2012
Using data from the EDGAR era, we find a significant market reaction surrounding quarterly periodic reports only when their filing coincides with the first public disclosure of earnings, although that for 10-K reports is not subsumed by earnings releases. However, after eliminating incidence of concurrent earnings releases, the 10-K market reaction is restricted to a quarter of the reports that are filed around calendar quarter-ends. The calendar quarter-end price and volume effects are unrelated to the filing of periodic reports and are not explained by self-selection. However, while the quarter-end volume reaction is indistinguishable between filers and non-filers, we find an incremental price reaction to 10-K filings at calendar quarter-ends in recent times. We provide evidence that the calendar-time effect is partially due to an intra-industry information transfer that is a function of the incidence of 10-K reports at quarter-ends. Finally, equity analyst reactions are muted around periodic filings, with no evidence that they contribute to quarter-end information transfer.
Keywords: periodic SEC reports, market reaction, concurrent earnings release, calendar quarter-end effect
JEL Classification: G14, G38, G29, K22, M41
Suggested Citation: Suggested Citation
Li, Edward Xuejun and Ramesh, K., Market Reaction Surrounding the Filing of Periodic SEC Reports. Accounting Review, Vol. 84, No. 4, pp. 1171-1208, July 2009. Available at SSRN: https://ssrn.com/abstract=1344826
By Paul Tetlock
By Feng Li