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December 2020 Measuring timeliness of annual reports filing by jump additive models
Yicheng Kang
Ann. Appl. Stat. 14(4): 1604-1621 (December 2020). DOI: 10.1214/20-AOAS1365

Abstract

Foreign public issuers (FPIs) are required by the Securities and Exchanges Commission (SEC) to file Form 20-F as comprehensive annual reports. In an effort to increase the usefulness of 20-Fs, the SEC recently enacted a regulation to accelerate the deadline of 20-F filing from six months to four months after the fiscal year-end. The rationale is that the shortened reporting lag would improve the informational relevance of 20-Fs. In this work we propose a jump additive model to evaluate the SEC’s rationale by investigating the relationship between the timeliness of 20-F filing and its decision usefulness using the market data. The proposed model extends the conventional additive models to allow possible discontinuities in the regression functions. We suggest a two-step jump-preserving estimation procedure and show that it is statistically consistent. By applying the procedure to the 20-F study, we find a moderate positive association between the magnitude of the market reaction and the filing timeliness when the acceleration is less than $17$ days. We also find that the market considers the filings significantly more informative when the acceleration is more than $18$ days and such reaction tapers off when the acceleration exceeds $40$ days.

Citation

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Yicheng Kang. "Measuring timeliness of annual reports filing by jump additive models." Ann. Appl. Stat. 14 (4) 1604 - 1621, December 2020. https://doi.org/10.1214/20-AOAS1365

Information

Received: 1 April 2020; Revised: 1 June 2020; Published: December 2020
First available in Project Euclid: 19 December 2020

MathSciNet: MR4194240
Digital Object Identifier: 10.1214/20-AOAS1365

Rights: Copyright © 2020 Institute of Mathematical Statistics

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Vol.14 • No. 4 • December 2020
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