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Filing speed, information leakage, and price formation
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Callen, Jeffey L., Kaniel, Ron and Segal, Dan (2023) Filing speed, information leakage, and price formation. Review of Accounting Studies, 28 . pp. 1618-1656. doi:10.1007/s11142-022-09673-5 ISSN 1380-6653.
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Official URL: https://doi.org/10.1007/s11142-022-09673-5
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 | ||||||||
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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: | September 2023 | ||||||||
Dates: |
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Volume: | 28 | ||||||||
Page Range: | pp. 1618-1656 | ||||||||
DOI: | 10.1007/s11142-022-09673-5 | ||||||||
Status: | Peer Reviewed | ||||||||
Publication Status: | Published | ||||||||
Access rights to Published version: | Restricted or Subscription Access | ||||||||
Date of first compliant deposit: | 23 August 2021 | ||||||||
Date of first compliant Open Access: | 12 February 2023 | ||||||||
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