The Stock Price Response to 13F Disclosures of Positions in IPOs
21 Pages Posted: 17 Aug 2009
Date Written: August 16, 2009
We examine the stock market's reaction to 13F lings with the SEC. On the day an institution files its 13F, do the prices of stocks held by the institution change? We begin our analysis by examining price responses for initial public offerings of equity, given that the valuations of these stocks are typically more uncertain. We find that the stock market values the news that a top institutional money manager holds a particular IPO. Specifically, on the day that an institution in the top 2.5% (based on prior performance) files its 13F, any recent IPO reported to be held by that institution enjoys a market-adjusted return of 1%. We plan to investigate other subsets of stocks as well as other subsets of 13F information. Also, we will assess the appropriateness of the market's reaction to the 13F news by examining the stock's performance over future holding periods. This study will shed light on how the market uses information in the 13F disclosures.
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