Finance Seminar（2016-02）

Topic:Endogenous Information Acquisition: Evidence from Web Visits to SEC Filings of Insider Trades

Speaker:Zhenduo Du, Northwestern University

Time:Wednesday, 20 January, 10:00-11:30

Location:Room 217, Guanghua Building 2

Abstract:

I document the first direct empirical evidence that information acquisition is endogenous to the value of information. I show that the first minute web visits to SEC filings of insider purchases (WVT) positively predicts hourly, daily, and weekly post-filing stock returns, and that the opposite is true for insider sales. Using a diff-in-diff approach to identify the impact of information asymmetry, I demonstrate that broker termination of analyst coverage increases the WVT of affected firms relative to unaffected firms. I also find that the WVT of scheduled insider trades is significantly less than that of unscheduled trades. Further evidence suggests that the ambiguity of the soft information in Management Discussion and Analysis (MD&A) announcements contributes to both the insider’s information advantage and WVT.

Your participation is warmly welcomed!