Do shares fall behind comparable companies in the month after a company says its report will be late?
Study 50 · Changed a rule or plan · recorded 12 October 2026 · answer: Not settled · full paper with figures
Correction, 20 October 2026. This study's answer was changed from Yes to Not settled. Its shortfall rested on a clipped measure that a later check (study 56) found reports a difference that is not there too often on this design. A re-test of the same notices (study 60), on a measure whose false-alarm rate holds, did not establish the shortfall and did not rule out a shortfall of about three points. The registration and the original result are unchanged.
The question
A company that misses the deadline for its annual or quarterly report files a notice with the securities regulator on or just after that deadline. Over the month from the next trading day, we compare its shares with comparable companies of the same industry and similar trading size, and with the same companies' on-time report filings.
Rules fixed before the result
Fixed in advance: at least 300 notices by 100 companies, 50 per period, and power to detect a 4-point monthly shortfall. Untrimmed, the smallest detectable was 4.8; the planned trimmed spread of the same companies' months before on-time reports gave 1.8. A month's range wholly below zero is a shortfall, notice-specific if on-time months show none; if those also fall short, general when notice and on-time months cannot be told apart, both when notice months fall measurably further.
Data and method
From the securities regulator's quarterly filing indexes for 2014 to 2022 we took 1,087 notices by 417 companies, each matched with five comparable companies of the same industry and similar trading size that filed no such notice within a year. The same companies' 7,777 on-time report filings were read the same way, holding their general weakness apart from the lateness. The month was also read for notices whose report came within the grace period and for first notices.
The answer
Not settled. As first published, with extreme months clipped to the range of the rest, shares trailed comparable companies by 3.8 percentage points over the month after a notice (95% range 1.9 to 5.7), and by 2.7 points more than after the same companies' on-time report filings (0.7 to 4.6). A later method check (study 56) found that, on this design, the clipped measure reports a difference that is not there more often than its stated error rate allows. Study 60 re-tested the same notices on the plain average, whose false-alarm rate held: shares trailed by 2.2 points, range 4.8 behind to 0.7 ahead, so the shortfall is not established, and a shortfall of about three points is not ruled out either.
Main estimate
-0.038 fraction (95% range -0.057 to -0.019), from 1087 observations
What it changes
As first published, late-report notices were proposed as a warning sign by the rule set in advance. With the shortfall not established, that proposal is paused, not withdrawn, and so are the planned studies built on the same month after a filing. The plan expected, with low confidence, a shortfall after the notice alone.
What remains uncertain
Without the planned trimming, which held each month's return against comparables within the 1st to 99th percentiles of its set, the month trailed by 2.2 points, 95% range 4.8 behind to 0.7 ahead, including zero: the shortfall is not established. Notices cluster on filing deadlines and the ranges treat different companies' same-day notices as independent, though resampling by calendar date showed no contradiction. Comparables match industry and trading size, not financial strain; the notices' stated reasons went unread.
How it was made
Run took 94 minutes; independent code review: approve; the recorded calculation reruns to the same result.
Fingerprints
plan 78be3370ce6bb012e873f75614d80a23013a27349a0e81fb7de237655f0af406 result 5f921352f7dc2c1f56d7e317db551e96504e2426ff9d5caaa7701c5b87425133
Exploratory work on development data; not a performance claim.