An empirical analysis of the impact of differences in the disclosure among companies on the equity premium

Jun Sakamoto ()
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Jun Sakamoto: Graduate School of Economics, Osaka University

No 17-11-Rev., Discussion Papers in Economics and Business from Osaka University, Graduate School of Economics

Abstract: This paper analyzes the impact of the disclosure on the equity premium. We also investigate whether or not the effect of the disclosure on the premium depends on market uncertainty. We obtain the following empirical results. In the case that the market uncertainty is low, the equity premium and the level of disclosure have the insignificant negative relationship. In contrast, when the market uncertainty is high, the negative relationship between the level of the disclosure and the equity premium is strongly supported.

Keywords: Disclosure; Risk premium; Fama-French 3factor model (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2017-04, Revised 2018-01
New Economics Papers: this item is included in nep-cfn and nep-upt
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