Analysis investigates market reaction to 10-K information content, implying its influence on security prices.
Abstract: The goal of this study is to investigate the incremental information content of the 10-K (i.e., the information content of the data which are contained in the 10-K, but which are not included in the annual report) from a market perspective. This objective was accomplished by examining aggregate market reaction to the 10-K via several statistical procedures. Each of these procedures appears to imply that the market, in the aggregate, uses the incremental data in the 10-K in setting equilibrium security prices and, consequently, that this data set possesses information content.
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Foster et al. (1978) studied this question.
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