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

Antti Kanto and Hannu Schadewitz

Applied Financial Economics, 2003, vol. 13, issue 10, 721-729

Abstract: 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.

Date: 2003
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DOI: 10.1080/09603100210139438

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