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

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  • Paul A. Griffin

    (University of California)

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.

Suggested Citation

  • Paul A. Griffin, 2003. "Got Information? Investor Response to Form 10-K and Form 10-Q EDGAR Filings," Review of Accounting Studies, Springer, vol. 8(4), pages 433-460, December.
    • Handle: RePEc:spr:reaccs:v:8:y:2003:i:4:d:10.1023_a:1027351630866
    DOI: 10.1023/A:1027351630866
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    References listed on IDEAS

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    Cited by:

    1. Henock Louis & Dahlia Robinson & Andrew Sbaraglia, 2008. "An integrated analysis of the association between accrual disclosure and the abnormal accrual anomaly," Review of Accounting Studies, Springer, vol. 13(1), pages 23-54, March.
    2. Eli Amir & Itay Kama & Joshua Livnat, 2011. "Conditional versus unconditional persistence of RNOA components: implications for valuation," Review of Accounting Studies, Springer, vol. 16(2), pages 302-327, June.
    3. Joshua Livnat & Yuan Zhang, 2012. "Information interpretation or information discovery: which role of analysts do investors value more?," Review of Accounting Studies, Springer, vol. 17(3), pages 612-641, September.
    4. Haifeng You & Xiao-jun Zhang, 2009. "Financial reporting complexity and investor underreaction to 10-K information," Review of Accounting Studies, Springer, vol. 14(4), pages 559-586, December.
    5. Joost Impink & Martien Lubberink & Bart Praag & David Veenman, 2012. "Did accelerated filing requirements and SOX Section 404 affect the timeliness of 10-K filings?," Review of Accounting Studies, Springer, vol. 17(2), pages 227-253, June.

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