Disclosure Similarity and Future Stock Return Comovement

• 成果类型: Article
• 署名作者: Dyer, Travis A.; Roulstone, Darren T.; Van Buskirk, Andrew
• 署名单位: Brigham Young University; University System of Ohio; Ohio State University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2023.4915
• 发表日期: 2024
• 页码: 4762-4780
• 关键词: disclosure similarity; return comovement; economics of disclosure

摘要

Existing research often assumes that firms' financial reporting choices influence their return comovement with other firms. We examine the validity of that assumption. First, we provide initial evidence suggesting that similarity in two firms' disclosures not only predicts but influences future return comovement between those two firms. Second, we show that this predictive ability aggregates to the market level; disclosure similarity can be used to estimate more accurate forward-looking market betas. Taken together, these two results suggest that firms' reporting decisions can influence their firms' betas even in the absence of changes to capital structure or operations.