Information Leakage Prior to SEC Form Filings–Evidence from TAQ Millisecond Data
American Finance Association (AFA) 2020 PhD Student Poster
162 Pages Posted: 22 Oct 2019 Last revised: 4 Jan 2021
Date Written: December 1, 2019
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. Regressing pre-publication return on buyer-initiated (classified according to Lee and Ready) minus seller-initiated trade volume fraction yields a positive and highly statistically-significant coefficient. 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. (2018) 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 is the first paper that documents this phenomenon.
Keywords: Information Leakage, Private Information, Big Data, Informed Trading, Millisecond Trades
JEL Classification: G14, G28
Suggested Citation: Suggested Citation