Analysis of Form 4: SEC electronic delivery system and information content of footnote disclosures.
详细信息
文摘
My dissertation investigates the economic importance of Form 4 footnotes, and compares insider information found in Thomson Reuters Insider Data Feed to Form 4 information filed with the Securities and Exchange Commission SEC). I constructed a database containing disclosures from all Form 4 filings between January 1, 2004 and December 31, 2007. The dissertation is divided into three papers. In the first paper, I examine the information content of voluntary disclosures accompanying open market purchases made by top executives. Analysis of variance indicates that, compared to open market transactions without disclosures, insider trades caused by contractual obligations a voluntary disclosure) result in significantly smaller abnormal returns on Form 4 filing dates. I also find that disclosures confirming trades open market nature have no information content. Finally, I find evidence that the insider ownership structure resulting from the transactions has information content. In the second paper, I investigate whether insider sell-trades filed under Rule 10b5-1 engender a different market response than nonprotected open market sell-trades disclosed by top executives. Contrary to findings in previous studies, I find that 10b5-1 trades have information content. However, the information content of these trades has not increased over time. Finally, my evidence suggests that trades must be previously planned under Rule 10b5-1 for their information content to be affected by other disclosures. In the third paper, I compare Form 4 submissions with insider data provided by Thomson Reuters TFN). I find that the TFN cleansing process improves the accuracy of a small number of transactions and that cleansed values cannot be inferred from data submitted in Form 4. I also find that supplementary disclosures associated with nonderivative acquisitions provide clues for classifying these transactions equivalently to TFN data. Finally, I find that mandatory disclosures are reflected in the TFN dataset. In general, my results suggest that users who access the electronically filed Form 4 from the SEC website potentially are exposed to a richer dataset than are TFN users.