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