The Stock Price Response to 13F Disclosures of Positions in IPOs

21 Pages Posted: 17 Aug 2009

See all articles by Roberto C. Gutierrez

Roberto C. Gutierrez

University of Oregon

Eric K. Kelley

University of Tennessee, Knoxville

Gerald S. Martin

American University - Kogod School of Business

Date Written: August 16, 2009

Abstract

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 off erings of equity, given that the valuations of these stocks are typically more uncertain. We fi nd that the stock market values the news that a top institutional money manager holds a particular IPO. Specifi cally, on the day that an institution in the top 2.5% (based on prior performance) fi les 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.

Suggested Citation

Gutierrez, Roberto C. and Kelley, Eric K. and Martin, Gerald S., The Stock Price Response to 13F Disclosures of Positions in IPOs (August 16, 2009). Available at SSRN: https://ssrn.com/abstract=1456062 or http://dx.doi.org/10.2139/ssrn.1456062

Roberto C. Gutierrez (Contact Author)

University of Oregon ( email )

Lundquist College of Business
1208 University of Oregon
Eugene, OR 97403
United States
541-346-3254 (Phone)
541-346-3341 (Fax)

Eric K. Kelley

University of Tennessee, Knoxville ( email )

916 Volunteer Blvd
Knoxville, TN 37996
United States

Gerald S. Martin

American University - Kogod School of Business ( email )

Kogod School of Business
4400 Massachusetts Ave., N.W.
Washington, DC 20016-8044
United States
202-885-3914 (Phone)

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