Employing a plausibly exogenous shock that increased the extent to which private information is revealed in debt markets – the implementation of the Trade Reporting and Compliance Engine (TRACE) - we document a change in long-run management earnings forecast policy. We find that managers...

Asymmetric timeliness (AT) measure from Basu (1997) regression is priced. Sorting firms on AT produces a 40 bp per month spread in six-factor alphas. The AT effect is driven almost exclusively by the bottom AT quintile, populated by aggressive firms that recognize gains more timely than losses....