Filing, Fast and Slow: Reporting Lag and Stock Returns
39 Pages Posted: 8 Aug 2019 Last revised: 23 Sep 2019
Date Written: August 5, 2019
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: Suggested Citation