Annual report disclosure timing and stock price crash risk

摘要

We study the relationship between firms' annual report disclosure timing and their future stock price crash risk. Using a sample of Chinese listed firms from 2001 to 2017, we find that firms switching their annual report disclosure timing from high to low market attention periods are associated with greater stock price crash risk in the future. This finding is robust when alternative stock price crash risk proxies are used and when the concern of omitted variables and selection bias are addressed. This effect is more pronounced in firms whose insiders face more personal costs for disclosing bad news and firms with weaker internal or external governance mechanisms that constrain the firm's tendency to conceal bad news. In summary, we find that firms hide bad news by strategically disclosing their annual reports during periods of low market attention, which in turn increases future stock price crash risk.