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Disclosure, volatility, and transparency: and empirical investigation into the value of bank disclosure

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  • Ursel Baumann
  • Erlend Nier
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    Abstract

    The authors suggests that banks that are more forthcoming on basic balance-sheet items exhibit lower stock price volatility. About 600 banks in thirty-one countries over the 1993-2000 period are covered. The authors find that higher values of their disclosure index are associated with significantly lower stock return volatility and that volatility is also negatively associated with most of the individual items in the index, and conclude that increased disclosure may benefit bankers and bank supervisors.

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    File URL: http://www.newyorkfed.org/research/epr/04v10n2/0409Baum.pdf
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    Bibliographic Info

    Article provided by Federal Reserve Bank of New York in its journal Economic Policy Review.

    Volume (Year): (2004)
    Issue (Month): Sep ()
    Pages: 31-45

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    Handle: RePEc:fip:fednep:y:2004:i:sep:p:31-45:n:v.10no.2

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    Related research

    Keywords: Banks and banking - Accounting ; Bank capital - Law and legislation ; Bank profits ; Banks and banking - Costs;

    References

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    1. Donald P. Morgan, 2002. "Rating Banks: Risk and Uncertainty in an Opaque Industry," American Economic Review, American Economic Association, vol. 92(4), pages 874-888, September.
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    Cited by:
    1. Faidon Kalfaoglou & Alexandros Sarris, 2006. "Modeling the Components of Market Discipline," Working Papers 36, Bank of Greece.
    2. Nier, Erlend & Baumann, Ursel, 2006. "Market discipline, disclosure and moral hazard in banking," Journal of Financial Intermediation, Elsevier, vol. 15(3), pages 332-361, July.
    3. Beverly Hirtle, 2007. "Public disclosure, risk, and performance at bank holding companies," Staff Reports 293, Federal Reserve Bank of New York.

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