The mission of the Securities and Exchange Commission as stated on its website is to protect investors, maintain fair, orderly, and efficient markets, and facilitate capital formation.
A recent study is questioning the "fair orderly and efficient markets" aspect of the agency’s mission. The study, available here, was conducted by two academics from the University of Chicago’s Booth School of Business and one from the University of Colorado at Boulder and is entitled “Run EDGAR run: SEC Dissemination in a high-frequency world.”
The study, complete with detailed tables and graphs, reviewed a large number of Form 4 filings (disclosing changes in beneficial ownership of securities owned by corporate insiders) during 2012 and 2013. It found that the SEC electronic filing system, or EDGAR, processes filings quickly with a time lag of around 40 seconds from the moment a document is submitted for filing and the moment it becomes available to the public. Subscribers who pay for direct access to EDGAR through commercial services receive filings typically 10 seconds before the public. It also shows that around 30 seconds prior to public availability, prices, volumes, and spreads are impacted by filing news. This would support the theory that some market participants are taking advantage of the posting delay.
In the words of the study’s authors: “These results raise questions about whether the SEC dissemination process is really a level playing field for all investors.”
I couldn’t have said it better, except by adding that some market participants may find the playing field more level than others.
A recent study is questioning the "fair orderly and efficient markets" aspect of the agency’s mission. The study, available here, was conducted by two academics from the University of Chicago’s Booth School of Business and one from the University of Colorado at Boulder and is entitled “Run EDGAR run: SEC Dissemination in a high-frequency world.”
The study, complete with detailed tables and graphs, reviewed a large number of Form 4 filings (disclosing changes in beneficial ownership of securities owned by corporate insiders) during 2012 and 2013. It found that the SEC electronic filing system, or EDGAR, processes filings quickly with a time lag of around 40 seconds from the moment a document is submitted for filing and the moment it becomes available to the public. Subscribers who pay for direct access to EDGAR through commercial services receive filings typically 10 seconds before the public. It also shows that around 30 seconds prior to public availability, prices, volumes, and spreads are impacted by filing news. This would support the theory that some market participants are taking advantage of the posting delay.
In the words of the study’s authors: “These results raise questions about whether the SEC dissemination process is really a level playing field for all investors.”
I couldn’t have said it better, except by adding that some market participants may find the playing field more level than others.
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