63 Pages Posted: 24 Oct 2014 Last revised: 17 Feb 2017
Date Written: January 1, 2017
We describe the process the SEC uses to make filings “publicly available.” For a sample of Form 4 (insider trade) filings, we show that, during the period we examine, the majority of filings are available to paying subscribers of the SEC’s PDS feed before they are posted to the SEC website, and so provide subscribers and their clients with a private advantage. We show that this advantage translates into an economically significant trading advantage, and that prices, volumes, and spreads respond to the news contained in filings beginning around 30 seconds before public posting. These findings indicate that the SEC dissemination process does not always provide a level playing field and that the meaning of publicly-available information in capital markets is no longer simple or obvious. In response to our study, the SEC launched an investigation and agreed to eliminate the PDS timing advantage.
Keywords: Event Study, Insider trading, High Frequency Trading (HFT), EDGAR, SEC dissemination, SEC filings
JEL Classification: G14, G28, M41
Suggested Citation: Suggested Citation
Rogers, Jonathan L. and Skinner, Douglas J. and Zechman, Sarah L. C., Run EDGAR Run: SEC Dissemination in a High-Frequency World (January 1, 2017). Chicago Booth Research Paper No. 14-36; Fama-Miller Working Paper. Available at SSRN: https://ssrn.com/abstract=2513350 or http://dx.doi.org/10.2139/ssrn.2513350