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Institutional Investors, Annual Reports, Textual Analysis and Stock Returns: Evidence from SEC EDGAR 10-K and 13-F Forms

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  • Chouliaras, Andreas

Abstract

I analyze 18510 SEC EDGAR Form 10-K (annual reports), for NASDAQ, NYSE and AMEX (NYSE MKT) stocks, from 1999 until 2015, along with 176565 SEC EDGAR Form 13-F (quarterly reports of institutional investors holdings). I find that (i) 10-K pessimism negatively affects stock holdings after the filing (ii) institutions do not appear to have forecasting power as to how pessimistic the annual report will be, as they do not adjust their holdings in the pessimistic stocks before the 10-K filing takes place, (iii) an increase in the number of institutional investors that hold a stock leads to an increase in stock prices after the 10-K filing (iv) institutions increase their positions in stocks that had positive returns one (1) to twelve (12) months before the 10-K filing.

Suggested Citation

  • Chouliaras, Andreas, 2015. "Institutional Investors, Annual Reports, Textual Analysis and Stock Returns: Evidence from SEC EDGAR 10-K and 13-F Forms," MPRA Paper 65875, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:65875
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    References listed on IDEAS

    as
    1. Chouliaras, Andreas, 2015. "High Frequency Newswire Textual Sentiment: Evidence from international stock markets during the European Financial Crisis," MPRA Paper 62524, University Library of Munich, Germany.
    2. Hanley, Kathleen Weiss & Hoberg, Gerard, 2012. "Litigation risk, strategic disclosure and the underpricing of initial public offerings," Journal of Financial Economics, Elsevier, vol. 103(2), pages 235-254.
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    4. Chouliaras, Andreas, 2015. "The Pessimism Factor: SEC EDGAR Form 10-K Textual Analysis and Stock Returns," MPRA Paper 65585, University Library of Munich, Germany.
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    6. Paul C. Tetlock, 2011. "All the News That's Fit to Reprint: Do Investors React to Stale Information?," Review of Financial Studies, Society for Financial Studies, vol. 24(5), pages 1481-1512.
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    Cited by:

    1. Chouliaras, Andreas, 2016. "The Effect of Infomation on Financial Markets: A Survey," MPRA Paper 71396, University Library of Munich, Germany.

    More about this item

    Keywords

    SEC; EDGAR; Form 13-F; Form 10-K; Textual Analysis; NYSE; NASDAQ; AMEX (NYSE MKT);

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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