Filing Speed, Information Leakage, and Price Formation

49 Pages Posted: 1 May 2019 Last revised: 3 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

Reichman University

Multiple version iconThere are 3 versions of this paper

Date Written: August 10, 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: Filing Lag, Institutional Trading, 8-K Reports, Private Information

JEL Classification: M41, M48

Suggested Citation

Callen, Jeffrey L. and Kaniel, Ron and Segal, Dan, Filing Speed, Information Leakage, and Price Formation (August 10, 2021). Available at SSRN: https://ssrn.com/abstract=3363056 or http://dx.doi.org/10.2139/ssrn.3363056

Jeffrey L. Callen

University of Toronto - Rotman School of Management ( email )

105 St. George Street
Toronto, Ontario M5S 3E6 M5S1S4
Canada
416-946-5641 (Phone)
416-971-3048 (Fax)

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 (Contact Author)

Reichman University ( email )

P.O. Box 167
Herzliya, 4610101
Israel

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