Run Edgar Run: SEC Dissemination in a High-Frequency World

Posted: 14 Sep 2017

See all articles by Jonathan L. Rogers

Jonathan L. Rogers

University of Colorado at Boulder - Leeds School of Business

Douglas J. Skinner

The University of Chicago - Booth School of Business

Sarah L. C. Zechman

University of Colorado at Boulder - Leeds School of Business

Multiple version iconThere are 2 versions of this paper

Date Written: May 1, 2017

Abstract

We describe the process through which the Securities and Exchange Commission (SEC) makes 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 public dissemination system (PDS) feed before they are posted to the EDGAR 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 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 Flings

JEL Classification: G14; G28; M41

Suggested Citation

Rogers, Jonathan L. and Skinner, Douglas J. and Zechman, Sarah L. C., Run Edgar Run: SEC Dissemination in a High-Frequency World (May 1, 2017). Journal of Accounting Research, Vol. 55, No. 2, 2017. Available at SSRN: https://ssrn.com/abstract=3036085

Jonathan L. Rogers

University of Colorado at Boulder - Leeds School of Business ( email )

419 UCB
Boulder, CO 80309-0419
United States

Douglas J. Skinner

The University of Chicago - Booth School of Business ( email )

5807 S. Woodlawn Avenue
Chicago, IL 60637
United States
773-702-7137 (Phone)

Sarah L. C. Zechman (Contact Author)

University of Colorado at Boulder - Leeds School of Business ( email )

Boulder, CO 80309-0419
United States

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