Author : Kung-Cheng Ho
Publisher :
ISBN 13 :
Total Pages : 62 pages
Book Rating : 4.:/5 (13 download)
Book Synopsis Disclosure Quality, Price Efficiency, and Expected Returns by : Kung-Cheng Ho
Download or read book Disclosure Quality, Price Efficiency, and Expected Returns written by Kung-Cheng Ho and published by . This book was released on 2018 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using the information rating consisting of disclosure items from five dimensions - regulatory compliance, timeliness, financial forecast, annual report, and corporate website, we examine how a firm's disclosure quality influences its stock's price efficiency and expected return in Taiwan stock market. We find the stock of a firm with better disclosure quality reflects both market-wide and firm-specific news more efficiently after controlling investor attention and stock liquidity variables. Furthermore, the component of information rating which is associated with outside governance, inside governance, and turnover of the important position variables also negatively correlates with a firm's stock price delay. Finally, our findings show that the governance-determined information rating component of stock price delay significantly and positively explains stock returns in the following year, suggesting a negative relationship between a firm's cost of equity capital and its governance-determined disclosure quality.