Filing, Fast and Slow: Reporting Lag and Stock Returns

39 Pages Posted: 8 Aug 2019 Last revised: 23 Sep 2019

See all articles by Karim Bannouh

Karim Bannouh

NN Investment Partners

Derek Geng

NN Investment Partners; London Business School

Bas Peeters

Vrije Universiteit Amsterdam, School of Business and Economics

Date Written: August 5, 2019

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 explore the relationship between document characteristics and the timeliness of financial reporting. We provide convincing evidence that document similarity and the change in sentiment between consecutive reports play a key role. Shorter Reporting Lags are associated with higher risk-adjusted excess returns, more positive earnings surprises, better firm efficiency, a higher similarity between subsequent reports and more positive sentiment compared to the previous report.

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 (August 5, 2019). 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

London Business School ( email )

Sussex Place
Regent's Park
London, London NW1 4SA
United Kingdom

Bas Peeters (Contact Author)

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

De Boelelaan 1105
Amsterdam, 1081HV
Netherlands

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