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Word Count Alpha in SEC Filings
Context Analytics previously published a research note asking a simple question: can changes in SEC filings predict U.S. equity returns? The idea traces back to “Lazy Prices” (Cohen, Malloy, and Nguyen, 2019), which found that firms making substantial changes to their quarterly and annual reports tend to underperform, while firms whose filings stay largely the same tend to outperform. The rationale is intuitive. Regulatory filings are long, repetitive documents that most market participants do not read closely or entirely. When management does make material revisions in response to changing conditions or new risks, information works its way into prices gradually.
