EDGAR – Execution Plan

FTP Syntax
ftp://ftp.sec.gov/edgar/daily-index/form.20141015.idx

Plan

  1. Batch download daily information from SEC EDGAR for period October 1st, 2014 > October 25, 2014
  2. Count occurrences > Form 3, Form 4, Form 13D
  3. Record 1D, 2D, 7D, 14D price reaction
  4. 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)