Review of Accounting Studies

, Volume 8, Issue 4, pp 433–460

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

  • Paul A. Griffin
Article

DOI: 10.1023/A:1027351630866

Cite this article as:
Griffin, P.A. Review of Accounting Studies (2003) 8: 433. doi:10.1023/A:1027351630866

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.

securities and exchange commissionEDGARForm 10-KForm 10-Qstock market responsesecurities regulation

Copyright information

© Kluwer Academic Publishers 2003

Authors and Affiliations

  • Paul A. Griffin
    • 1
  1. 1.Graduate School of ManagementUniversity of CaliforniaDavis