Change in 10-K file size robustly and negatively predicts future stock returns. The documented return predictability reflects mainly information content of 10-K file size change on future cash flow news. We examine whether this return predictability derives from managers' risk disclosures or disclosure obfuscation. We find that the return predictability increases in future return horizon. It is driven by positive file size changes and is stronger for firms with high information asymmetry. It is stronger when managers have more “skin in the game.” It persists even when investor attention is high. It derives from the component of file size change that cannot be explained by business fundamentals. Although word count changes in specific 10-K items can predict future stock returns, word count change in Item 1A, the risk disclosure section, has no return predictability. Our findings are broadly consistent with the managerial disclosure obfuscation explanation and suggest that lengthier 10-K disclosure, to the extent it is used by managers to obfuscate bad news, does not necessarily benefit shareholders.

中文翻译：

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10-K文件大小变化的信息内容

10-K 文件大小的变化有力且负面地预测了未来的股票回报。记录的回报可预测性主要反映未来现金流新闻的 10-K 文件大小变化的信息内容。我们检验了这种回报的可预测性是来自于管理者的风险披露还是披露的混淆。我们发现，在未来回报范围内，回报的可预测性会增加。它是由积极的文件大小变化驱动的，并且对于信息不对称程度很高的公司来说更强大。当经理们有更多的“皮肤在游戏中”时，它会更强大。即使投资者关注度很高，它也会持续存在。它源于业务基础无法解释的文件大小变化的组成部分。虽然特定 10-K 项目的字数变化可以预测未来的股票收益，但项目 1A 中的字数变化，风险披露部分，没有回报可预测性。我们的研究结果与管理层披露混淆的解释大体一致，并表明更长的 10-K 披露，在一定程度上被管理者用来混淆坏消息，并不一定有利于股东。