Filing Speed, Information Leakage, and Price Formation

51 Pages Posted: 22 Sep 2021

See all articles by Jeffrey L. Callen

Jeffrey L. Callen

University of Toronto - Rotman School of Management

Ron Kaniel

University of Rochester - Simon Business School; CEPR

Dan Segal

Interdisciplinary Center (IDC) Herzliyah

Multiple version iconThere are 2 versions of this paper

Date Written: August 2021

Abstract

This study investigates the price discovery process in equity markets with informed institutional investors. Consistent with extant theories, we show empirically that institutional investors, in contrast to retail investors, trade based on the leaked sign of unanticipated news and then (partially) reverse their trades when the news become public. We also find that the longer the leakage period for institutional investors to exploit, the less informative is the news when it becomes public. These results are robust to controls for firm press releases and news articles and endogeneity concerns.

Keywords: 8K reports, Filing Lag, Institutional Trading, private information

Suggested Citation

Callen, Jeffrey L. and Kaniel, Ron and Segal, Dan, Filing Speed, Information Leakage, and Price Formation (August 2021). Available at SSRN: https://ssrn.com/abstract=3928773

Jeffrey L. Callen (Contact Author)

University of Toronto - Rotman School of Management ( email )

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Toronto, Ontario M5S 3E6 M5S1S4
Canada
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Ron Kaniel

University of Rochester - Simon Business School ( email )

Rochester, NY 14627
United States

HOME PAGE: http://rkaniel.simon.rochester.edu

CEPR ( email )

London
United Kingdom

Dan Segal

Interdisciplinary Center (IDC) Herzliyah ( email )

P.O. Box 167
Herzliya, 46150
Israel

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