Publication detail

Does the large amount of information in corporate disclosures hinder or enhance price discovery in the capital market?

Author(s): Jiří Novák M.Sc., Ph.D., Deloitte Corporate Chair, Karel Hrazdil, Dennis Y. Chung, Nattavut Suwanyangyuan
Type: Articles in journals with impact factor
Year: 2018
Number: 0
ISSN / ISBN: 1815-5669
Published in: Journal of Contemporary Accounting and Economics
Publishing place:
Keywords: Disclosure quantity; Market efficiency; Price discovery
JEL codes: G12, G14
Suggested Citation:
Grants: GACR 15-13040S Accounting Earnings Quality, Insider Trading Profitability and Stock Price Informativeness GAČR 18-02513S Meta-Analyses of Stock Return Determinants
Abstract: We analyze how the quantity of information in corporate disclosures affects the efficiency with which investors incorporate newly acquired information into stock prices. Specifically, we investigate both numerical and textual levels of detail provided in 10-K disclosures: (1) disaggregation (numerical) quantity (DQ) capturing the ‘fineness’ of accounting line items and (2) textual quantity (TQ) capturing the amount of ‘soft’ or narrative information. We find that both DQ and TQ are associated with an overall improvement in the efficiency of information price discovery. Our results provide empirical support for the benefits of detailed numerical and textual corporate disclosure.

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