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. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category. 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…
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