Information Leakage Prior to SEC Form Filings–Evidence from TAQ Millisecond Data

158 Pages Posted: 22 Oct 2019

See all articles by Steven Wei Ho

Steven Wei Ho

Columbia University, Graduate School of Arts and Sciences, Department of Economics

Mingrui Zhang

University of Washington, Michael G. Foster School of Business, Students; Columbia University

Date Written: October 1, 2019

Abstract

We investigate the stock price movements prior to the publication of publicly-listed firms' SEC form filings. By analyzing the time-stamps of all SEC form filings as well as the stock prices in the 30 minute interval pre- and post-publication, utilizing the TAQ millisecond data, we find strong evidence of information leakage in the 30-minute intervals around Edgar acceptance timestamp of corporate SEC filings, in that if the stocks are ranked into 5 portfolios based on the price run-up prior to filing release, for all form types, the events with the highest run-up would also have the highest price increase post filing release. Also, depending on the type of the SEC filing, for filings that could contain both positive and negative information, for example, form 8K 10K and 10Q (as opposed to 13D or 13G which generally can only be good new for stock price), the events with the most run-down prior to the release would also have the most price decrease post filing release. The results are not driven by momentum, and they remain even after the SEC’s server fix in March, 2015, as Bolandnazar et al (2015) have documented information leakage in the several-minutes range due to a technical issue related to SEC’s dissemination through FTP and PDS services, which is also a different time-horizon than the 30 minute range we are focusing on. To the best of our knowledge, this phenomenon has not been previously documented in the literature using high frequency intra-day data.

Keywords: Information Leakage, Private Information, Big Data, Informed Trading, Millisecond Trades

JEL Classification: G14, G28

Suggested Citation

Ho, Steven Wei and Zhang, Mingrui, Information Leakage Prior to SEC Form Filings–Evidence from TAQ Millisecond Data (October 1, 2019). Available at SSRN: https://ssrn.com/abstract=3302096 or http://dx.doi.org/10.2139/ssrn.3302096

Steven Wei Ho (Contact Author)

Columbia University, Graduate School of Arts and Sciences, Department of Economics ( email )

420 W. 118th Street
New York, NY 10027
United States

HOME PAGE: http://econ.columbia.edu/steven-ho

Mingrui Zhang

University of Washington, Michael G. Foster School of Business, Students ( email )

Box 353200
Seattle, WA 98195-3200
United States

Columbia University ( email )

3022 Broadway
New York, NY 10027
United States

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