The Securities Exchange Comission (SEC) makes available all corporate filings on EDGAR (Electronic Data Gathering, Analysis, and Retrieval system).

Figure 3.1.1: SEC Forms, Uses, and Filing Period

With this publicly available data, I will scrape the website to run backtests on corporate insider trading v. stock price reaction. I’ll utilize Form 3 and Form 4 initially to run my sample. Form 3 is filed when an individual becomes a corporate insider, which is defined as one person with a beneficial interest with > 10% holdings in a company. Form 4 is used when these “insiders” buy or sell securities.

Moving forward, I will enlarge my study to incorporate instituional buying and selling. The third part of the process will involve the Form 13D, which is filed within 10 days of an institution claiming a > 5% stake within a company.

If I feel necessary, there are two branches to include within the study. The first is 13G, which is when an institution acquires a significant interest in a security, but only for passive purposes (eg, mutual funds). Another study, involves proxy statement filings. This can involve investor activism (eg, Yahoo/Starboard), or merger agreements. While equally interesting, I will hold off on this analysis for now, and focus on Forms 3 and 4 to remain focused.

Figure 3.1.2: Filing Period for SEC Forms

Initially, I plan on observing time series data for 2-3 companies. If I develop a suitable infrastructure for analysis (eg, filing > price reaction (increase/decrease)), and am able to evaluate significant relationships between the two (which I predict that I will), I would like to run the same analsysis for the S&P 500 for the last 5 years (5 years, to exclude the financial crisis)