The Effect of Oil and Gas Producers' FRR No. 48 Disclosures on Investors' Risk Assessments
研究发现，美国SEC强制要求油气生产商披露的价格敏感性和风险价值信息，能帮助投资者更准确评估公司股价对大宗商品价格波动的敏感度，首次披露时这种影响尤为显著。
We hypothesize that oil and gas producers' sensitivity and value-at-risk (VAR) disclosures, mandated by SEC Financial Reporting Release Number 48 (FRR No. 48), convey useful information to investors about commodity betas (defined as the sensitivity of firms' equity price changes to commodity price changes). Consistent with the hypothesis, we find that first-time sensitivity and VAR disclosers experience greater commodity beta shifts at 10-K filing dates than do nondisclosing firms in a matched control sample. To enhance confidence that the observed shifts are associated with FRR No. 48 disclosures, we repeat the analyses in the year before the release was effective, when firms did not disclose sensitivity or VAR. At the prior year 10-K filing dates, we find that firms in the disclosure sample do not exhibit significant commodity beta shifts. We conclude that the results are consistent with FRR No. 48-mandated sensitivity and VAR disclosures providing useful information to investors.