Callen, Jeffey L., Kaniel, Ron and Segal, Dan (2022) Filing speed, information leakage, and price formation. Review of Accounting Studies . doi:10.1007/s11142-022-09673-5 (In Press)

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Abstract

This study investigates the price discovery process in equity markets with informed institutional investors. Consistent with extant theories, we show empirically that institutional investors, in contrast to retail investors, trade based on the leaked sign of unanticipated news and then (partially) reverse their trades when the news become public. We also find that the longer the leakage period for institutional investors to exploit, the less informative the news is when it becomes public. These results are robust to controls for firm press releases and news articles and endogeneity concerns.

Item Type:	Journal Article
Subjects:	H Social Sciences > HG Finance
Divisions:	Faculty of Social Sciences > Warwick Business School
Library of Congress Subject Headings (LCSH):	Stocks -- Prices, Institutional investments
Journal or Publication Title:	Review of Accounting Studies
Publisher:	Springer New York LLC
ISSN:	1380-6653
Official Date:	2022
Dates:	Date Event 2022 Published 12 February 2022 Available 11 January 2022 Accepted
DOI:	10.1007/s11142-022-09673-5
Status:	Peer Reviewed
Publication Status:	In Press
Access rights to Published version:	Restricted or Subscription Access
Related URLs:	Publisher

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