 Does data asset disclosure contribute to the market efficiency? Evidence from ChinaYanlin Wei, Junrui Zhang, Maoyong Cheng and Tingting Liu Research in International Business and Finance, 2025, vol. 73, issue PA Abstract: Information regarding firms' data assets and stock pricing has been more closely related when data is integrated into firms' value creation processes. However, since data asset disclosure can also be engaged in impression management by firms, its contribution to market efficiency may be impeded. Using a sample of Chinese A-share listed firms from 2014 to 2020, this study examines the impact of increased data asset information disclosure on the subsequent stock price volatility. The findings suggest that more data asset disclosure reduces stock return idiosyncratic volatility. The mechanism analysis shows that data asset disclosure reduces idiosyncratic volatility of stock prices by mitigating analyst forecast dispersion and noise trading induced by buy-sell imbalances. Moreover, this mitigating effect is more pronounced in firms with more analyst following, observable digital investments, and higher liquidity. But the effect is diminished if firms use a more positive abnormal tone in their annual reports. Keywords: Data asset; Information disclosure; Stock return idiosyncratic volatility (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:73:y:2025:i:pa:s0275531924003428 DOI: 10.1016/j.ribaf.2024.102549 Access Statistics for this article Research in International Business and Finance is currently edited by T. Lagoarde Segot More articles in Research in International Business and Finance from Elsevier |
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