Affiliation:
1. University of Rochester.
2. Michigan State University.
Abstract
ABSTRACT: Using data from the EDGAR era, we find a significant market reaction surrounding quarterly periodic reports only when their filing coincides with the first public disclosure of earnings, although that for 10-K reports is not subsumed by earnings releases. However, after eliminating incidence of concurrent earnings releases, the 10-K market reaction is restricted to a quarter of the reports that are filed around calendar quarter-ends. The calendar quarter-end price and volume effects are unrelated to the filing of periodic reports and are not explained by self-selection. However, while the quarter-end volume reaction is indistinguishable between filers and non-filers, we find an incremental price reaction to 10-K filings at calendar quarter-ends in recent times. We provide evidence that the calendar-time effect is partially due to an intraindustry information transfer that is a function of the incidence of 10-K reports at quarter-ends. Finally, equity analyst reactions are muted around periodic filings, with no evidence that they contribute to quarter-end information transfer.
Publisher
American Accounting Association
Subject
Economics and Econometrics,Finance,Accounting
Reference54 articles.
1. Afterman, A. B. 1995. SEC Regulation of Public Companies. Englewood Cliffs, NJ: Prentice Hall.
2. The effect of education on agricultural productivity under traditional and improved technology in northern Nigeria: An endogenous switching regression analysis;Alene;Empirical Economics,2007
3. Extensions and violations of the statutory SEC Form 10-K filing requirements;Alford;Journal of Accounting and Economics,1994
4. Amir, E., and J. Livnat. 2005. The economic consequences of (not) issuing a preliminary earnings announcement. Working paper, London Business School and New York University.
5. The discovery and reporting of internal control deficiencies prior to SOX-mandated audits;Ashbaugh-Skaife;Journal of Accounting and Economics,2007
Cited by
124 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献