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Is There a Filings Factor?

The language in regulatory filings typically changes little from one period to the next. However, when filings have big changes, it may indicate new material information that may have implications for future business outcomes. Using the quarterly (10-Q) and annual (10-K) filings by companies in the MSCI USA Investable Market Index universe, we found that changes in the structure and language of these filings had strong implications for a firm’s future stock performance. Firms that had more changes in their regulatory filings underperformed the broader market over the next few months, while companies that made few changes outperformed.

Simulated Long-Only Reporting-Sentiment Portfolios’ Performance Relative to the Benchmark

Data from May 31, 2007, to April 30, 2021

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