Econ Papers Daily / 期刊论文
私有信息获取的信息含量：来自向SEC提交FOIA请求的证据
The information content of private information acquisition: evidence from FOIA requests to the SEC
摘要
This study examines whether Freedom of Information Act (FOIA) requests to the Securities and Exchange Commission convey value-relevant information about publicly traded firms and whether sophisticated investors trade on that information. Our empirical analysis reveals heterogeneous value relevance associated with different types of requests. Specifically, requests submitted by proxy agents to probe for ongoing investigations as well as anonymous requests are negatively correlated with future returns, while requests from institutional investors and intellectual property entities are associated with positive future returns. Our results also support the direct-trading hypothesis, showing institutional investors and short sellers trade on FOIA-obtained information. Our findings add to the information-acquisition literature by highlighting the heterogeneous value signals in FOIA requests, particularly the negative value signals.
中文摘要
本研究探讨了向证券交易委员会提交的《信息自由法》（FOIA）请求是否传递了关于上市公司价值相关的信息，以及成熟投资者是否利用这些信息进行交易。我们的实证分析揭示了不同类型请求所关联的价值相关性存在异质性。具体而言，由代理机构提交以探查正在进行的调查的请求以及匿名请求与未来回报呈负相关，而来自机构投资者和知识产权实体的请求则与正向未来回报相关联。我们的结果也支持直接交易假说，表明机构投资者和卖空者基于通过FOIA获取的信息进行交易。我们的发现通过强调FOIA请求中异质性的价值信号，尤其是负面价值信号，为信息获取文献做出了贡献。