Fundamental Investors Following Insider Filings – Beware!

Fundamental Investors Following Insider Filings - Beware! by Wesley R. Gray, Ph.D., Alpha Architect, author of Quantitative Value: A Practitioner’s Guide to Automating Intelligent Investment and Eliminating Behavioral Errors

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

• Rogers, Skinner and Zechman
• A version of the paper can be found here.
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Abstract:

We use a large recent sample of Form 4 insider trading filings to provide evidence on the process through which SEC filings are disseminated via EDGAR. We find that while the delay from a filing’s acceptance by EDGAR to its initial public availability on the SEC website...