Who Pays Attention to SEC Form 8-K?

56 Pages Posted: 29 Mar 2017 Last revised: 15 Sep 2017

See all articles by Azi Ben-Rephael

Azi Ben-Rephael

Rutgers Business School - Rutgers University

Zhi Da

University of Notre Dame - Mendoza College of Business

Peter D. Easton

University of Notre Dame - Department of Accountancy

Ryan D. Israelsen

Michigan State University - Department of Finance

Date Written: September 6, 2017

Abstract

The extant literature provides evidence that, for many SEC 8-K filings, there is a significant market reaction on the date of the event that led to the 8-K filing, on the days between the event date and the filing date and on the filing date. We address the question, who pays attention and who trades on these days – institutional investors, retail investors, or both? We show that there is significant abnormal attention paid by institutional investors on both the filing date and the event date, more so on the event day; but there is no obvious pattern of abnormal attention from retail investors on either of these dates. Moreover, most price discovery occurs during the pre-filing period when institutional investors are paying attention; suggesting that the 8-K filing has less informational benefit, particularly to retail investors. We observe, for several events related to company senior management, that the 8-K filings appear to attract media coverage and retail attention, which has the undesirable consequence of price pressure on the filing date and this price change eventually reverts.

Keywords: SEC 8-K filings, Investor Attention, Price discovery, Price pressure

JEL Classification: D8, G1, G2, M4

Suggested Citation

Ben-Rephael, Azi and Da, Zhi and Easton, Peter D. and Israelsen, Ryan D., Who Pays Attention to SEC Form 8-K? (September 6, 2017). Kelley School of Business Research Paper No. 17-24, Available at SSRN: https://ssrn.com/abstract=2942503

Azi Ben-Rephael (Contact Author)

Rutgers Business School - Rutgers University ( email )

HOME PAGE: http://https://sites.google.com/site/abenreph

Zhi Da

University of Notre Dame - Mendoza College of Business ( email )

Notre Dame, IN 46556-5646
United States

Peter D. Easton

University of Notre Dame - Department of Accountancy ( email )

Mendoza College of Business
Notre Dame, IN 46556-5646
United States
574-631-6096 (Phone)
574-631-5127 (Fax)

Ryan D. Israelsen

Michigan State University - Department of Finance ( email )

315 Eppley Center
East Lansing, MI 48824-1122
United States

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