Localized Information Acquisition: What Do Two Billion EDGAR Queries Say About Who Acquires Information from SEC Filings and When?

75 Pages Posted: 2 Nov 2020 Last revised: 20 May 2021

See all articles by Stephan Hollander

Stephan Hollander

Tilburg University - Tilburg School of Economics and Management

Robin Litjens

Tilburg University - CentER and Department of Accountancy

Date Written: September 11, 2020

Abstract

This study identifies previously undocumented geography-related diversity in investors’ information acquisition behavior around days with earnings announcements. IP geo-localization of the server log of the SEC’s EDGAR (Electronic Data Gathering, Analysis, and Retrieval) system shows that, around these days, local (non-local) investors’ information acquisition behavior is largely anticipatory (reactionary) in nature. Specifically, local investors are found to sharply increase their information acquisition activities on days leading up to earnings announcements, triggered by intertemporal changes in a firm’s earnings uncertainty and varying predictably with exogenous firm relocation. Their non-local counterparts, on the other hand, generally hold off until the day of the earnings announcement, when new filings information becomes available. Greater pre-announcement information acquisition diversity is predicted to elicit stronger stock price reactions on earnings announcement days. Consistent with this prediction, we find that the earnings announcement-day premium is higher when pre-announcement information acquisition by local investors is higher, controlling for time-variant and -invariant firm characteristics.

Keywords: information acquisition, geography, earnings days, asset pricing

JEL Classification: G10, G14, G40

Suggested Citation

Hollander, Stephan and Litjens, Robin, Localized Information Acquisition: What Do Two Billion EDGAR Queries Say About Who Acquires Information from SEC Filings and When? (September 11, 2020). Available at SSRN: https://ssrn.com/abstract=3691111 or http://dx.doi.org/10.2139/ssrn.3691111

Stephan Hollander (Contact Author)

Tilburg University - Tilburg School of Economics and Management ( email )

P.O. Box 90153
Tilburg, DC Noord-Brabant 5000 LE
Netherlands
+31 13 466 8288 (Phone)
+31 13 466 8001 (Fax)

HOME PAGE: http://www.uvt.nl/people/s.hollander

Robin Litjens

Tilburg University - CentER and Department of Accountancy ( email )

P.O. Box 90153
Tilburg, 5000 LE
Netherlands

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