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The Impact of Information Disclosure on Firms’ Systematic Risks – The Case of Vietnam Stock Market

In: Proceedings of the 11th International Conference on Emerging Challenges: Smart Business and Digital Economy 2023 (ICECH 2023)

Author

Listed:
  • Dang Anh Tuan

    (National Economics University, School of Banking and Finance)

  • Dinh Pham Duy Long

    (National Economics University, School of Advanced Education Programs)

  • Nguyen Phuong Dung

    (National Economics University, School of Advanced Education Programs)

Abstract

Purpose – The purpose of this study is to examine the association between information disclosure and the impact of systematic risk of the biggest listed non-financial companies in two stock exchanges of Vietnam. Design/methodology/approach – The data was gathered from the annual reports of listed companies in VN30 and the HNX30 from the year of 2018 to 2022 to construct the disclosure index (DS). The study will use two approaches to estimate firms’ beta. The first method is to estimate beta through historical price fluctuations in 35 firms (the historical market model). The second method is using the fundamental approach to estimate betas in 38 companies. Findings – The result shows that there is an expected negative association between the level of information disclosure and the extent of influence that systematic risks have on a company. Information disclosure, however, only contributes a minor impact on companies’ systematic risks among many firm-specific factors. Practical implications – The findings indicate that the impact of systematic risks on the firms, albeit not too significant, is still affected by their information disclosure. Therefore, companies should actively raise their information disclosure to help mitigate systematic risks. Meanwhile, while considering a company to invest in, investors should not ignore its corporate disclosure since it somehow might show that the firm is subjected to some kinds of risks but trying to hide them. Social implications – Full disclosure of information will help the Vietnamese stock market become more dependable. The minimization of systematic risk is demonstrated through full disclosure, and it also gives investors access to the company’s financial information so they can establish their own opinions. The companies that have good information disclosure will draw more investors due to their reliability and safety. Originality/value – Our paper contributes to the existing literature on corporate disclosure by providing empirical evidence to point out the impact of systematic risks on non-financial companies listed on the stock exchange of Vietnam - an emerging economy.

Suggested Citation

  • Dang Anh Tuan & Dinh Pham Duy Long & Nguyen Phuong Dung, 2023. "The Impact of Information Disclosure on Firms’ Systematic Risks – The Case of Vietnam Stock Market," Advances in Economics, Business and Management Research, in: Nguyen Danh Nguyen & Pham Thi Thanh Hong (ed.), Proceedings of the 11th International Conference on Emerging Challenges: Smart Business and Digital Economy 2023 (ICECH 2023), pages 307-326, Springer.
    • Handle: RePEc:spr:advbcp:978-94-6463-348-1_24
    DOI: 10.2991/978-94-6463-348-1_24
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