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Institutional Investors, Annual Reports, Textual Analysis and Stock Returns: Evidence from SEC EDGAR 10-K and 13-F Forms

Chouliaras, Andreas (2015): Institutional Investors, Annual Reports, Textual Analysis and Stock Returns: Evidence from SEC EDGAR 10-K and 13-F Forms.

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Abstract

I analyze 18510 SEC EDGAR Form 10-K (annual reports), for NASDAQ, NYSE and AMEX (NYSE MKT) stocks, from 1999 until 2015, along with 176565 SEC EDGAR Form 13-F (quarterly reports of institutional investors holdings). I find that (i) 10-K pessimism negatively affects stock holdings after the filing (ii) institutions do not appear to have forecasting power as to how pessimistic the annual report will be, as they do not adjust their holdings in the pessimistic stocks before the 10-K filing takes place, (iii) an increase in the number of institutional investors that hold a stock leads to an increase in stock prices after the 10-K filing (iv) institutions increase their positions in stocks that had positive returns one (1) to twelve (12) months before the 10-K filing.

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