我要吃瓜

Citation

Hussainey K & Mouselli S (2010) Disclosure quality and stock returns in the UK. Journal of Applied Accounting Research, 11 (2), pp. 154-174. https://doi.org/10.1108/09675421011069513

Abstract
The purpose of this paper is to update and re-examine the role of corporate narrative reporting in improving investors’ ability to better forecast future earnings change. We also construct a risk factor for disclosure quality (DQ) and test whether such a factor is useful in explaining the time-series variation of UK stock returns. Our paper contributes to the market based accounting research in three crucial ways. Firstly, it offers updated evidence on the usefulness of corporate narrative reporting to investors. Secondly, it offers evidence that the DQ factor is a significant risk factor in the UK. Thirdly, and finally, it finds that the Fama-French factors might contain DQ related information.

Keywords
Narrative disclosure; Future oriented information; Value relevance; Fama-French factors; Stock return; United Kingdom

Journal
Journal of Applied Accounting Research: Volume 11, Issue 2

• DISCLOSURE QUALITY AND STOCK RETURNS IN THE UK.pdf