Filing, Fast and Slow: Reporting Lag and Stock Returns

47 Pages Posted: 8 Aug 2019 Last revised: 24 Feb 2021

See all articles by Karim Bannouh

Karim Bannouh

NN Investment Partners

Derek Geng

NN Investment Partners

Bas Peeters

Vrije Universiteit Amsterdam, School of Business and Economics

Date Written: February 12, 2021

Abstract

We study the impact of Reporting Lag, the time it takes a firm to file its annual or quarterly reports,
on future stock returns. Firms that report faster command a significant premium compared to
slower-filing firms. We investigate the determinants of Reporting Lag and find that firm and
document characteristics play a key role. Shorter Reporting Lags are associated with more positive
earnings surprises, better firm efficiency, a higher similarity between subsequent reports and more
positive sentiment compared to the previous report. We also find evidence that a longer Reporting
Lag can signal that management delays dissemination of negative news.

Keywords: asset pricing, return predictability, reporting lag, financial reporting timeliness, SEC filings, textual analysis, firm efficiency

JEL Classification: G12, G14, M41

Suggested Citation

Bannouh, Karim and Geng, Jiewei and Peeters, Bas, Filing, Fast and Slow: Reporting Lag and Stock Returns (February 12, 2021). Available at SSRN: https://ssrn.com/abstract=3432446 or http://dx.doi.org/10.2139/ssrn.3432446

Karim Bannouh

NN Investment Partners ( email )

Schenkkade 65
The Hague, 2595 AS
Netherlands

Jiewei Geng

NN Investment Partners ( email )

Schenkkade 65
The Hague, 2595 AS
Netherlands

Bas Peeters (Contact Author)

Vrije Universiteit Amsterdam, School of Business and Economics ( email )

De Boelelaan 1105
Amsterdam, 1081HV
Netherlands

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