The Dog that Did Not Bark: Limited Price Efficiency and Strategic Nondisclosure
研究发现，公司不发布盈利预测会导致后续季报公布时出现异常负回报，表明投资者未能充分理解不披露的负面信号，而价格效率有限（如投资者注意力不足和卖空限制）是导致这一错误定价的原因。
ABSTRACT Theory posits that investors can rationally infer the implications of strategic nondisclosure for firm value, pressuring managers to disclose information voluntarily. This study documents that the lack of an earnings guidance predicts an abnormal return of −41 basis points around the subsequent quarterly earnings announcement, suggesting that investors do not fully incorporate the implications of nonguidance. Further analyses demonstrate that limitations in price efficiency, driven by investors' limited attention and short‐selling constraints, explain the mispricing of nonguidance and are associated with less guidance issuance. Our results collectively highlight limited price efficiency as another friction when studying managers' strategic disclosure decisions.