How often do managers withhold information?

We estimate and test a model of voluntary disclosure in which a manager’s information set is uncertain (Dye 1985; Jung and Kwon 1988). In this model, a manager makes his disclosure decision to maximize the market price, but sometimes, for exogenous reasons, he cannot or is not willing to disclose. We offer a flexible framework to measure the prevalence of unobservable disclosure frictions and the quality of managers’ private information. More broadly, the method can be used to test for voluntary disclosure in datasets featuring an option to withhold. We also develop theory-based tests for detecting whether a firm is reporting strategically. At the firm level, we reject strategic reporting for between 1/3 to 2/3 of the sample of firms. Finally, estimating the model with quarterly management guidance, we document that firms face a disclosure friction between 30% to 46% of the time. Conditional on not facing a friction, firms strategically withhold between 4.3% to 20.7% of the time. To aid policymakers, these estimates predict that the level of voluntary forecasts will increase by 2.6% to 13.5% in a counter-factual world without strategic information withholding.