The paper "Anomaly Time" provides insights on very interesting methodological issue as well as further information on efficient market behavior. The authors look at the timing of returns around the publication of news or anomalous information signals. Most academic publication form portfolios around a specific calendar data and not when data are produced. Think about this process. Portfolios, for academic work, are usually structure around June regardless of when the company data is really reported. If you look at the actual publicly reporting data, you will get a very different answer on many of the key anomalies that are reported in the academic testing. Who would have thought?
Now getting firm information on 10K was actually not that easy and was a very time consuming and costly process before EDGAR. Getting data in a timely fashion was hard work. It is still hard work to get it arranged properly This paper makes two predictions: 1. Return predictability should be strongest immediately following the release of this key information and then decay. 2. As the cost of information gathering decreases, the markets will become more efficient with less return predictability and more active trading activity after the information release. These results should not be surprising. What took academics so long to realize what traders knew a long-time ago, yet this provides another good story for how market efficiency works. This study looks at how changes in the EDGAR database reporting and dissemination has made a difference on how research is conducted and thus information is discounted.
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