While advertising is a crucial marketing component, publicly listed companies possess considerable latitude in disclosing their advertising spending in financial statements. This research shows that firms opting to voluntarily disclose advertising spending differ systematically from those that do not in multiple ways. To explore the ramifications of these disparities, we use machine learning techniques to estimate undisclosed advertising spending and examine whether advertising effectiveness differs between firms with and without voluntary advertising disclosure. The results indicate that firms opting not to disclose their advertising spending realize a significantly reduced effect of advertising on customer-based brand equity. Moreover, for these firms, advertising is associated with higher systematic risk, lower firm value, and lower advertising sales elasticity. These findings suggest that advertising is less effective in product and financial markets for firms electing to keep advertising information private. Consequently, research using only voluntarily disclosed advertising likely overestimates the impact of advertising on firm value and advertising’s sales elasticity and underestimates the impact of advertising on systematic risk for the full population of advertising firms. Correcting for this bias reduces advertising’s sales elasticity and reveals that advertising does not significantly affect firms’ systematic risk.