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Filing Speed, Information Leakage, and Price Formation

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 is the news when it becomes public. These results are robust to controls for firm press releases and news articles and endogeneity concerns
Year of publication:
[2022]
Authors: Callen, Jeffrey L. ; Kaniel, Ron ; Segal, Dan
Publisher: [S.l.] : SSRN
Subject: Theorie | Theory | Informationsökonomik | Economics of information | Noise Trading | Noise trading | Ankündigungseffekt | Announcement effect
Description of contents: Abstract [papers.ssrn.com]
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