A1 Vertaisarvioitu alkuperäisartikkeli tieteellisessä lehdessä
Impact of nonearnings disclosures on market risk: evidence with interim reports
Tekijät: Kanto AJ, Schadewitz HJ
Kustantaja: Informa UK (Taylor & Francis)
Julkaisuvuosi: 2003
Journal: Applied Financial Economics
Tietokannassa oleva lehden nimi: Applied Financial Economics
Artikkelin numero: 2
Vuosikerta: 13
Numero: 10
Aloitussivu: 721
Lopetussivu: 729
ISSN: 0960-3107
eISSN: 1466-4305
DOI: https://doi.org/10.1080/09603100210139438
Verkko-osoite: http://dx.doi.org/10.1080/09603100210139438
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.