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- W974001005 abstract "We document two novel findings on the evolution of uncertainty following 10-K filings. First, we find a hump-shaped volatility dynamics for an average firm: following 10-K filings, its volatility increases by 0.36% in the first two to four weeks followed by a 2.55% decrease in the subsequent six weeks. Second and more importantly, this hump-shaped dynamics is more pronounced for firms with larger 10-K file sizes -- a recent measure for complexity of financial disclosures. The economic impact of our findings is nontrivial: an options strategy based on this volatility pattern delivers up to 17.3% cross-sectional difference in annualized returns between firms with large and small 10-K file sizes. Our findings therefore highlight two opposing effects of information disclosures on the evolution of uncertainty along the time dimension: While a more complex disclosure is associated with a higher level of uncertainty in the short horizon, its information content can result in an eventual resolution of uncertainty once the information is digested by investors." @default.
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- W974001005 date "2014-01-01" @default.
- W974001005 modified "2023-10-07" @default.
- W974001005 title "Complexity and Information Content of Financial Disclosures: Evidence from Evolution of Uncertainty Following 10-K Filings" @default.
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- W974001005 doi "https://doi.org/10.2139/ssrn.2535469" @default.
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