Run EDGAR Run: SEC Dissemination in a High-Frequency World

摘要: We describe the process through which SEC makes information in its filings “publicly available,” a critical element of event studies. For sample Form 4 (insider trade) filings, we show that majority are available to paying subscribers SEC’s PDS feed before they posted website, and so provide their clients with private advantage. this advantage translates into an economically significant trading advantage, prices, volumes, spreads respond news contained beginning around 30 seconds public posting. Our findings indicate dissemination is not level playing field meaning publicly-available capital markets no longer simple or obvious.