Disclosure, volatility, and transparency: and empirical investigation into the value of bank disclosure
AbstractThe 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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Bibliographic InfoArticle provided by Federal Reserve Bank of New York in its journal Economic Policy Review.
Volume (Year): (2004)
Issue (Month): Sep ()
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- 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.
- repec:fip:fedhpr:y:2003:i:may:p:261-277 is not listed on IDEAS
- Faidon Kalfaoglou & Alexandros Sarris, 2006. "Modeling the Components of Market Discipline," Working Papers 36, Bank of Greece.
- 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.
- 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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