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Filing speed, information leakage, and price formation

Author

Listed:
  • Jeffrey L. Callen

    (University of Toronto)

  • Ron Kaniel

    (University of Rochester
    Fanhai International School of Finance, Fudan
    Center for Economic and Policy Research; IDC Herzliya)

  • Dan Segal

    (Reichman University (formerly Interdisciplinary Center Herzliya)
    Warwick University)

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.

Suggested Citation

  • Jeffrey L. Callen & Ron Kaniel & Dan Segal, 2023. "Filing speed, information leakage, and price formation," Review of Accounting Studies, Springer, vol. 28(3), pages 1618-1656, September.
    • Handle: RePEc:spr:reaccs:v:28:y:2023:i:3:d:10.1007_s11142-022-09673-5
    DOI: 10.1007/s11142-022-09673-5
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