Filing Discipline: Regulatory Disclosure Behavior and the Cross-Section of Stock Returns
Filing discipline characteristics built from SEC timestamp data alone predict cross-sectional stock returns with a net Sharpe ratio of 1.27, concentrated in smaller and more volatile stocks.
Featured in No. 133 on 2 Oct 2026 · 2 days after release
- Released
- 30 Sep 2026
- First featured
- No. 133 · 2 Oct 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 2 of 5
- Identifier
- SSRN 7536681
- Authors
- Lyuge Zhu
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).