Market Reaction Surrounding the Filing of Periodic SEC Reports

49 Pages Posted: 22 Feb 2009 Last revised: 29 Feb 2012

Edward Xuejun Li

City University of New York (CUNY) - Stan Ross Department of Accountancy

K. Ramesh

Rice University

Abstract

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

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

Edward Xuejun Li

City University of New York (CUNY) - Stan Ross Department of Accountancy ( email )

One Bernard Baruch Way, Box B12-225
New York, NY 10010
United States
646-312-3235 (Phone)

K. Ramesh (Contact Author)

Rice University ( email )

236 McNair Hall
Jones Graduate School of Business
Houston, TX 77005
United States
713.348.5380 (Phone)
713.348.6296 (Fax)

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