The Association of the Qualitative Informativeness of Market Risk Disclosures With Stock Liquidity
通过文本分析评估市场风险披露的定性内容，发现信息含量更高的披露与更高的股票流动性和更低的流动性不确定性相关，对投资者和监管者评估披露有用性有参考价值。
The SEC’s 2016 Concept Release summarizes the ongoing debate regarding the usefulness of market risk disclosures and calls for additional discussion. We respond to the SEC’s call and investigate market risk disclosures. Using textual analysis, we evaluate and classify the qualitative content of market risk disclosures and expect that more informative disclosures are associated with improved liquidity, consistent with disclosure theory. We find that informative textual contents of market risk disclosures are associated with higher liquidity levels and lower liquidity uncertainty (i.e., an improved investors’ information environment). Our study is relevant to the ongoing discussion regarding the usefulness of market risk disclosures, calls for more detailed regulatory guidance for market risk disclosures, and contributes to the literature on stock liquidity and risk factor disclosures.