<?xml version="1.0"?>
<ownershipDocument>

    <schemaVersion>X0202</schemaVersion>

    <documentType>4</documentType>

    <periodOfReport>2007-10-09</periodOfReport>

    <notSubjectToSection16>0</notSubjectToSection16>

    <issuer>
        <issuerCik>0001297720</issuerCik>
        <issuerName>James River Coal CO</issuerName>
        <issuerTradingSymbol>JRCC</issuerTradingSymbol>
    </issuer>

    <reportingOwner>
        <reportingOwnerId>
            <rptOwnerCik>0001388494</rptOwnerCik>
            <rptOwnerName>aAd Capital Management LP</rptOwnerName>
        </reportingOwnerId>
        <reportingOwnerAddress>
            <rptOwnerStreet1>420 STEVENS AVENUE, SUITE 210</rptOwnerStreet1>
            <rptOwnerStreet2></rptOwnerStreet2>
            <rptOwnerCity>SOLANA BEACH</rptOwnerCity>
            <rptOwnerState>CA</rptOwnerState>
            <rptOwnerZipCode>92075</rptOwnerZipCode>
            <rptOwnerStateDescription></rptOwnerStateDescription>
        </reportingOwnerAddress>
        <reportingOwnerRelationship>
            <isDirector>0</isDirector>
            <isOfficer>0</isOfficer>
            <isTenPercentOwner>1</isTenPercentOwner>
            <isOther>0</isOther>
        </reportingOwnerRelationship>
    </reportingOwner>

    <nonDerivativeTable>
        <nonDerivativeTransaction>
            <securityTitle>
                <value>Common Stock</value>
            </securityTitle>
            <transactionDate>
                <value>2007-10-09</value>
            </transactionDate>
            <transactionCoding>
                <transactionFormType>4</transactionFormType>
                <transactionCode>S</transactionCode>
                <equitySwapInvolved>0</equitySwapInvolved>
            </transactionCoding>
            <transactionTimeliness>
                <value></value>
            </transactionTimeliness>
            <transactionAmounts>
                <transactionShares>
                    <value>141944</value>
                </transactionShares>
                <transactionPricePerShare>
                    <value>7.135</value>
                </transactionPricePerShare>
                <transactionAcquiredDisposedCode>
                    <value>D</value>
                </transactionAcquiredDisposedCode>
            </transactionAmounts>
            <postTransactionAmounts>
                <sharesOwnedFollowingTransaction>
                    <value>2758056</value>
                </sharesOwnedFollowingTransaction>
            </postTransactionAmounts>
            <ownershipNature>
                <directOrIndirectOwnership>
                    <value>I</value>
                </directOrIndirectOwnership>
                <natureOfOwnership>
                    <value>See Notes 1 and 2</value>
                    <footnoteId id="F1"/>
                    <footnoteId id="F2"/>
                </natureOfOwnership>
            </ownershipNature>
        </nonDerivativeTransaction>
        <nonDerivativeTransaction>
            <securityTitle>
                <value>Common Stock</value>
            </securityTitle>
            <transactionDate>
                <value>2007-10-10</value>
            </transactionDate>
            <transactionCoding>
                <transactionFormType>4</transactionFormType>
                <transactionCode>S</transactionCode>
                <equitySwapInvolved>0</equitySwapInvolved>
            </transactionCoding>
            <transactionTimeliness>
                <value></value>
            </transactionTimeliness>
            <transactionAmounts>
                <transactionShares>
                    <value>258056</value>
                </transactionShares>
                <transactionPricePerShare>
                    <value>7.1093</value>
                </transactionPricePerShare>
                <transactionAcquiredDisposedCode>
                    <value>D</value>
                </transactionAcquiredDisposedCode>
            </transactionAmounts>
            <postTransactionAmounts>
                <sharesOwnedFollowingTransaction>
                    <value>2500000</value>
                </sharesOwnedFollowingTransaction>
            </postTransactionAmounts>
            <ownershipNature>
                <directOrIndirectOwnership>
                    <value>I</value>
                </directOrIndirectOwnership>
                <natureOfOwnership>
                    <value>See Notes 1 and 2</value>
                </natureOfOwnership>
            </ownershipNature>
        </nonDerivativeTransaction>
    </nonDerivativeTable>

    <footnotes>
        <footnote id="F1">The securities reported as beneficially owned by aAd Capital Management L.P., a Delaware limited partnership (&quot;aAd&quot;), on this Form 4 include securities also beneficially owned by aAd Capital LLC, a Delaware limited liability company, and Daniel P. Wimsatt (collectively with aAd, the &quot;Filers&quot;).  aAd is the general partner and investment adviser of investment limited partnerships and the investment adviser to other accounts.  aAd Capital LLC is the general partner of aAd and Mr. Wimsatt is the manager of aAd Capital LLC.</footnote>
        <footnote id="F2">These securities are held directly by the limited partnerships of which aAd is general partner and investment adviser and the other accounts of which it is investment adviser, for the benefit of the investors in those partnerships and accounts.  The Filers are filing this Form 4 jointly, but not as a group, and each of them expressly disclaims membership in a group within the meaning of rule 13d-5(b)(1) under the Securities Exchange Act of 1934, as amended.  Each of the Filers disclaims beneficial ownership of these securities except to the extent of that person's pecuniary interest therein.</footnote>
    </footnotes>

    <ownerSignature>
        <signatureName>aAd Capital Management L.P., by aAd Capital LLC, GP, by Daniel P. Wimsatt, Manager</signatureName>
        <signatureDate>2007-10-11</signatureDate>
    </ownerSignature>
</ownershipDocument>
