Filing, Fast and Slow: Reporting Lag and Stock Returns

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