Who Pays Attention to SEC Form 8-K?

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