Institutional Investors, Analysts' Recommendations, Annual Reports, Textual Analysis and Stock Returns: Evidence from SEC EDGAR 10-K and 13-F Forms
41 Pages Posted: 2 Aug 2015 Last revised: 7 Oct 2015
Date Written: October 6, 2015
I analyze 18510 SEC EDGAR Form 10-K (annual reports), for NASDAQ, NYSE and AMEX (NYSE MKT) stocks, along with 176565 SEC EDGAR Form 13-F (quarterly reports of institutional investors holdings), and analysts' recommendations, from 2001 until 2015. I find that (i) 10-K pessimism negatively affects stock holdings after the filing, (ii) institutions do not appear to have forecasting power as to how pessimistic the annual report will be, as they do not adjust their holdings in the pessimistic stocks before the 10-K filing takes place, (iii) an increase in the number of institutional investors that hold a stock leads to an increase in stock prices after the 10-K filing (iv) institutions increase their positions in stocks that had positive returns one (1) to twelve (12) months before the 10-K filing (v) analysts' recommendations are affected by 10-K pessimism three (3) to nine (9) months after the 10-K filing, (vi) contrary to the cross-section of institutional investors, analysts do appear to have some forecasting power over how pessimistic the annual report will be, a few months before the 10-K filing month.
Keywords: SEC, EDGAR, Form 13-F, Form 10-K, Textual Analysis, NYSE, NASDAQ, AMEX (NYSE MKT)
JEL Classification: G10, G14, G23
Suggested Citation: Suggested Citation