This study provides a test of the relationship between changes in a firm’s disclosure environment and its security price behavior. The initiation of interim reporting is examined. Theory suggests that the marginal information content of an annual report is greater when it has not been preceded by interim reports and that greater return variability will be observed at the annual report announcement date. The variance of returns upon release of the annual report is compared in the ‘annual-report-only’ and ‘annual-plus-quarterly-reports’ environments. As predicted by the theory, variability is significantly greater in the ‘annual-report-only’ environment.