The effect of mandated market risk disclosures on trading volume sensitivity to interest rate, exchange rate, and commodity price movements

• 成果类型: Article
• 署名作者: Linsmeier, TJ; Thornton, DB; Venkatachalam, M; Welker, M
• 署名单位: Michigan State University; Queens University - Canada; Stanford University
• 刊物名称: ACCOUNTING REVIEW
• ISSN/ISSBN: 0001-4826
• DOI: 10.2308/accr.2002.77.2.343
• 发表日期: 2002
• 页码: 343-377
• 关键词: VALUE-RELEVANCE; rate exposure; determinants; association

摘要

We hypothesize that firms' 10-K market risk disclosures, recently mandated by SEC Financial Reporting Release No. 48 (FRR No. 48), reduce investors' uncertainty and diversity of opinion about the implications, for firm value, of changes in interest rates, foreign currency exchange rates, and commodity prices. We argue that this reduced uncertainty and diversity of opinion should dampen trading volume sensitivity to changes in these underlying market rates or prices. Consistent with this hypothesis, we find that after firms disclose FRR No. 48-mandated information about their exposures to interest rates, foreign currency exchange rates, and energy prices, trading volume sensitivity to changes in these underlying market rates and prices declines, even after controlling for other factors associated with trading volume. The observed declines in trading volume sensitivity are consistent with FRR No. 48 market risk disclosures providing useful information to investors.