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An empirical analysis of the impact of differences in the disclosure among companies on the equity premium

Author

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  • Jun Sakamoto

    (Graduate School of Economics, Osaka University)

Abstract

This paper analyzes the impact of the disclosure on the equity premium. We also investigate whether or not the effect of the disclosure on the premium depends on market uncertainty. We obtain the following empirical results. In the case that the market uncertainty is low, the equity premium and the level of disclosure have the insignificant negative relationship. In contrast, when the market uncertainty is high, the negative relationship between the level of the disclosure and the equity premium is strongly supported.

Suggested Citation

  • Jun Sakamoto, 2017. "An empirical analysis of the impact of differences in the disclosure among companies on the equity premium," Discussion Papers in Economics and Business 17-11-Rev., Osaka University, Graduate School of Economics, revised Jan 2018.
    • Handle: RePEc:osk:wpaper:1711r
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    File URL: http://www2.econ.osaka-u.ac.jp/library/global/dp/1711R.pdf
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    More about this item

    Keywords

    Disclosure; Risk premium; Fama-French 3factor model;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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