Got Information? Investor Response to Form 10-K and Form 10-Q Edgar Filings

Posted: 21 May 2003

See all articles by Paul A. Griffin

Paul A. Griffin

University of California, Davis - Graduate School of Management

Abstract

This study examines the investor response to Form 10-K and 10-Q reports filed between 1996 and 2001. The samples comprise essentially the entire body of EDGAR filings, including the small business (SB) versions of each filing type. The study documents that the absolute value of excess return is reliably greater on the day of and on the one or two days immediately following the filing date. The response is stronger around a 10-K date than a 10-Q date, more elevated for delayed filers, and increases significantly over the study period for both filing types. A regression analysis indicates that differences in response due to filing delay and year of filing are not subsumed by other attributes of the information environment, such as changes in industry composition, day of week, market capitalization, and shares held by institutions.

Keywords: Securities and Exchange Commission, EDGAR, Form 10-K and Form 10-Q filing, stock market response, securities regulation

JEL Classification: G14, K22, M41

Suggested Citation

Griffin, Paul A., Got Information? Investor Response to Form 10-K and Form 10-Q Edgar Filings. Review of Accounting Studies, Forthcoming, Available at SSRN: https://ssrn.com/abstract=387322

Paul A. Griffin (Contact Author)

University of California, Davis - Graduate School of Management ( email )

3102 Gallahger Hall
Davis, CA 95616
United States
(530) 752-7372 (Phone)
(425) 799-4143 (Fax)

HOME PAGE: http://www.gsm.ucdavis.edu/griffin/

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