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Does data asset disclosure contribute to the market efficiency? Evidence from China

Author

Listed:
  • Wei, Yanlin
  • Zhang, Junrui
  • Cheng, Maoyong
  • Liu, Tingting

Abstract

Information regarding firms' data assets and stock pricing has been more closely related when data is integrated into firms' value creation processes. However, since data asset disclosure can also be engaged in impression management by firms, its contribution to market efficiency may be impeded. Using a sample of Chinese A-share listed firms from 2014 to 2020, this study examines the impact of increased data asset information disclosure on the subsequent stock price volatility. The findings suggest that more data asset disclosure reduces stock return idiosyncratic volatility. The mechanism analysis shows that data asset disclosure reduces idiosyncratic volatility of stock prices by mitigating analyst forecast dispersion and noise trading induced by buy-sell imbalances. Moreover, this mitigating effect is more pronounced in firms with more analyst following, observable digital investments, and higher liquidity. But the effect is diminished if firms use a more positive abnormal tone in their annual reports.

Suggested Citation

  • Wei, Yanlin & Zhang, Junrui & Cheng, Maoyong & Liu, Tingting, 2025. "Does data asset disclosure contribute to the market efficiency? Evidence from China," Research in International Business and Finance, Elsevier, vol. 73(PA).
    • Handle: RePEc:eee:riibaf:v:73:y:2025:i:pa:s0275531924003428
    DOI: 10.1016/j.ribaf.2024.102549
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    More about this item

    Keywords

    Data asset; Information disclosure; Stock return idiosyncratic volatility;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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