FTP Syntax
ftp://ftp.sec.gov/edgar/daily-index/form.20141015.idx
Plan
- Batch download daily information from SEC EDGAR for period October 1st, 2014 > October 25, 2014
- Count occurrences > Form 3, Form 4, Form 13D
- Record 1D, 2D, 7D, 14D price reaction
- Regress filing occurence vs. price reaction (standard 1,2,3,4 quartiles)
Considerations
- Derive company ticker from SEC CIK code
- Batch download price data from Yahoo finance (defer to FactSet if process is too time consuming)