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.

中文翻译：

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通过跳跃附加模型测量年度报告的及时性

证券交易委员会（SEC）要求外国公众发行人（FPI）提交20-F表作为综合年度报告。为了提高20-F的实用性，SEC最近颁布了一项法规，将20-F申请的截止日期从财政年度结束后的六个月加速到四个月。这样做的理由是缩短报告滞后时间将改善20-F的信息相关性。在这项工作中，我们提出了一个跳跃式累加模型，通过使用市场数据调查20-F申报的及时性与其决策效用之间的关系，从而评估SEC的基本原理。所提出的模型扩展了常规的加性模型，以允许回归函数中可能存在不连续性。我们建议采用两步跳保持估计程序，并证明它在统计上是一致的。通过将该程序应用于20-F研究，我们发现，当加速时间少于$ 17 $天时，市场反应的程度与申请及时性之间存在适度的正相关关系。我们还发现，当加速超过18美元/天时，市场认为申请量大得多，而当加速超过40美元/天时，这种反应逐渐减弱。