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

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.

[1]  B. Lev.  ON THE USEFULNESS OF EARNINGS AND EARNINGS RESEARCH: LESSONS AND DIRECTIONS FROM TWO DECADES OF EMPIRICAL RESEARCH , 1989 .

[2]  Katherine Schipper,et al.  The Relative and Incremental Explanatory Power of Earnings and Alternative (to Earnings) Performance Measures for Returns , 2003 .

[3]  Sharad Asthana,et al.  The effect of EDGAR on the market reaction to 10-K filings , 2001 .

[4]  Wayne R. Landsman,et al.  Has the Information Content of Quarterly Earnings Announcements Declined in the Past Three Decades , 2002 .

[5]  Edwin R. Etter,et al.  The Usefulness to Individual and Institutional Investors of Annual Earnings Announcements and Sec Filings by Non-U.S. Companies , 1999 .

[6]  G P Wilson,et al.  THE RELATIVE INFORMATION-CONTENT OF ACCRUALS AND CASH FLOWS - COMBINED EVIDENCE AT THE EARNINGS ANNOUNCEMENT AND ANNUAL-REPORT RELEASE DATE , 1986 .

[7]  S. Kothari,et al.  Determinants of the Informativeness of Analyst Research , 2003 .

[8]  W. Beaver.  Perspectives on Recent Capital Market Research , 2002 .

[9]  Daniel W. Collins,et al.  Changes in the value-relevance of earnings and book values over the past forty years , 1997 .

[10]  A. Afterman.  SEC regulation of public companies , 1994 .

[11]  Michael R. Gibbons,et al.  Day of the Week Effects and Asset Returns , 1981 .

[12]  Rowland K. Atiase,et al.  Predisclosure Information, Firm Capitalization, And Security Price Behavior Around Earnings Announcements , 1985 .

[13]  R. Chandra,et al.  The Power of Beaver's U against a Variance Increase in Market Model Residuals , 1989 .

[14]  P G Wilson,et al.  THE INCREMENTAL INFORMATION CONTENT OF THE ACCRUAL AND FUNDS COMPONENTS OF EARNINGS AFTER CONTROLLING FOR EARNINGS , 1987 .

[15]  M. Zmijewski,et al.  SEC Form 10K/10Q Reports and Annual Reports to Shareholders: Reporting Lags and Squared Market Model Prediction Errors , 1993 .

[16]  Josef Lakonishok,et al.  Are Insider Trades Informative , 2001 .

[17]  Stephen J. Brown,et al.  Use of R-Squared in Accounting Research: Measuring Changes in Value Relevance Over the Last Four Decades , 1998 .

[18]  Richard G. Sloan.  Do Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future Earnings , 1998 .

[19]  R. Freeman,et al.  The association between accounting earnings and security returns for large and small firms , 1987 .

[20]  Stephen H. Penman,et al.  Timeliness Of Reporting And The Stock-Price Reaction To Earnings Announcements , 1984 .

[21]  Katherine Schipper,et al.  Earnings Announcements and Competing Information , 2002 .

[22]  Mary Ellen Carter,et al.  The relevance of Form 8-K reports , 1999 .

[23]  Robert G. May.  The influence of quarterly earnings announcements on investor decisions as reflected in common stock price changes , 1971 .

[24]  I. Haw,et al.  The Incremental Information Content of SEC 10-K Reports Filed under the EDGAR System , 2000 .