Disclosure Similarity and Future Stock Return Comovement
研究发现两家公司披露信息的相似性不仅预测而且影响它们未来的股票收益联动，并可用于估计更准确的前瞻性市场贝塔值。
Existing research often assumes that firms’ financial reporting choices influence their return comovement with other firms. We examine the validity of that assumption. First, we provide initial evidence suggesting that similarity in two firms’ disclosures not only predicts but influences future return comovement between those two firms. Second, we show that this predictive ability aggregates to the market level; disclosure similarity can be used to estimate more accurate forward-looking market betas. Taken together, these two results suggest that firms’ reporting decisions can influence their firms’ betas even in the absence of changes to capital structure or operations. This paper was accepted by Suraj Srinivasan, accounting. Funding: The authors are grateful for financial support from the Brigham Young University Marriott School of Business and the Fisher College of Business, Ohio State University. Supplemental Material: The data files are available at https://doi.org/10.1287/mnsc.2023.4915 .