Glen on The Predictive Power of Form 4 Filings

The Efficient Capital Market Hypothesis, Chaos Theory, and the Insider Filing Requirements of the Securities and Exchange Act of 1934: The Predictive Power of Form 4 Filings, by Patrick J. Glen, Department of Justice, Civil Division, Office of Immigration Litigation, was recently posted on SSRN.  Here is the abstract:

This article is primarily an examination of whether the filing of form 4's under the '34 Act has a particular effect on the movement of securities prices. The ultimate results are then analyzed under traditional market theories, which are introduced earlier in the paper. The main question presented is the worth of information for traders. If chaos theory is correct in the weight it gives to information, then the filing requirements become very important, as does any movement that could be associated with those requirements. The paper is an initial step in an area that has not been addressed to a large extent, and could serve as the departure point for more rigorous empirical study of the questions presented.