A1 Vertaisarvioitu alkuperäisartikkeli tieteellisessä lehdessä

Impact of nonearnings disclosures on market risk: evidence with interim reports




TekijätKanto AJ, Schadewitz HJ

KustantajaInforma UK (Taylor & Francis)

Julkaisuvuosi2003

JournalApplied Financial Economics

Tietokannassa oleva lehden nimiApplied Financial Economics

Artikkelin numero2

Vuosikerta13

Numero10

Aloitussivu721

Lopetussivu729

ISSN0960-3107

eISSN1466-4305

DOIhttps://doi.org/10.1080/09603100210139438

Verkko-osoitehttp://dx.doi.org/10.1080/09603100210139438


Tiivistelmä

How nonearnings information affects a firm's market risk beta is reported. Nonearnings information is quantified by two indices: one for overall disclosure and the other for purely voluntary disclosure. The data are divided into four categories reflecting the quality of disclosure. The effect of disclosure on beta is found to be nonlinear with the data of interim reports submitted to the Helsinki Stock Exchange in the years 1985–1993. The findings show that, during and after the event, the cross-sectional betas vary in all the classes of disclosure examined. Specifically, the betas are statistically significant mainly in the low quality disclosure class. This indicates that in the remaining disclosure groups firm-specific-factors, rather than aggregate market development, explain the riskiness of a firm's equity.



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