Value relevance of value-at-risk disclosure

被引：28

作者：

Lim C.Y. ^{[1
]}

Tan P.M.-S. ^{[1
]}

机构：

[1] Nanyang Business School, Nanyang Technological University, Singapore 639798

来源：

Review of Quantitative Finance and Accounting | 2007年 / 29卷 / 4期

关键词：

Earnings-returns relation; Market risk; Stock return volatility; Value relevance; Value-at-risk;

D O I：

10.1007/s11156-007-0038-7

中图分类号：

学科分类号：

摘要：

The SEC issued FRR No. 48 in 1997 to enhance public disclosure of firms' exposures to market risk. We examine whether the quantitative value-at-risk (VAR) estimates disclosed by 81 non-financial firms during the period 1997-2002 are value-relevant using the earnings-returns relation. The empirical results indicate that high VAR is associated with weaker earnings-returns relation. Further analysis shows that VAR is positively and significantly associated with future stock return volatility. Our evidence suggests that investors perceive the earnings of firms with substantial market risk exposure to be less persistent, and adjust the future abnormal earnings for the higher risk exposure. Thus, this results in a lower expected rate of return. © 2007 Springer Science+Business Media, LLC.

引用

页码：353 / 370

页数：17

共 36 条

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