This study shows the influence of annual report opacity on stock returns. To measure annual report opacity, we modify the Gunning Fog index in the computational linguistics literature by including the graphical information contained in the report. We find that the opacity measure predicts both lower future returns and more negative skewness for Chinese stocks. The results are consistent with the notion that managers write opaque annual reports to stockpile bad news and such information uncertainty obscures negative information to be impounded into price rapidly.