Questionable Value of SGML tag value in SEC Filings

I have posted before about our decision to use the RDATE rather than the ACCEPTANCE-DATETIME value from the accession-number.txt or accession-number.hdr.sgml files.  We use the RDATE (note that RDATE is a term we assigned to the date associated with the <SEC-DOCUMENT> tag in those same files).  The difference is critical because academic researchers need to identify the best event date for event studies.  Selecting the wrong date could at best introduce excessive noise into the calculation of abnormal returns and at worst could lead to a bias in the results.

While we have the ACCEPTANCE-DATETIME stamp for all the filings we use the date that is associated with the SEC-DOCUMENT tag because it is a better measure of when the filing was actually made available through the EDGAR filing system so a user could read and then act on the information.

To illustrate this I took a screen-shot of the Latest Filings Page with 10-K filings listed at about noon on Saturday April 8.  Here is the screenshot:

Latest_10_K_4_9_2017_12_20CDT

If I had tried to collect all 10-K filings made through EDGAR at noon on 4/8/2017 the most recent filing I would be able to access would be the 10-K filed by Plastic2Oil.  According to the SEC this was accepted at 17:30 on 4/7/2017 and has a filing date of 4/7/2017.  When this filing was added to directEDGAR about 4:45 (CDT) on 4/7/2017 we assigned the RDATE value R20170407.

I checked in again Sunday 4/9/2017 about noon and the same list was available.  Then I checked midday Monday 4/10/2017 and the list had been updated to reflect all the filings that were made after the SEC cut-off (17:30 M-F excepting Federal Holidays) (as well as filings made Monday morning).  Here is the updated list:

Latest_10_K_4_10_2017_14_20CDT

   There are seven filings that were not visible or accessible to EDGAR users until probably the first push of the RSS index at about 5:00 AM on 4/10/2017.  I checked our logs and see that we pulled those particular filings at about 5:15 AM on 4/10.  They were not available for our final pull Friday at about 9:00 pm and they were not accessible during our weekly clean-up run on Saturday where we validate everything that was filed during the week.

Our competitors insist up using the ACCEPTANCE-DATETIME value as the critical event date.  That has never made sense to us because of all of the issues that can affect the length of time between when the filing is submitted (ACCEPTANCE-DATETIME) and pushed to EDGAR users (SEC-DOCUMENT) date.  In this example the lag is caused by the SEC enforcing their cut-off rule.  However, the lag can also be affected by problems with the composition or organization of the filing.  That is the registrant can submit a filing and it fail a validation test.  The SEC may allow the registrant to retain the initial ACCEPTANCE-DATETIME value since that has regulatory consequences but the filing is still not available to the public through EDGAR until sometime after the filing has been corrected.

For the 10-K filed by Robin Street Acquisition Corp from the screenshot above the header reports that it was made at 19:12 on 4/7.  We assigned it an RDATE of R20170410.

RobinAcquisition

Internally we refer to the RDATE as the Reveal Date.  We think it is a better value to use in an event study.  So then the question is how do you get the RDATE for a collection of filings?  Since it automatically included in the summary result set from a search that is not too difficult.  The following image shows the summary results file after  searching for the phrase “poison pill” in 8-K filings.

poisonPill

There is quite a bit more meta-data about each of the results but this shot lets you see that the RDATE is automatically parsed and ready (as well as the CONFORMED DATE – CDATE).

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