Do SEC Disclosures Reduce Investors' Disagreements about Firms' Exposures to Market Risk?: A Trading Volume Analysis

摘要: This paper uses a trading volume analysis to examine the extent which SEC-mandated disclosures make firms' market risk exposures more transparent investors. We hypothesize that if SEC's quantitative reduce investor disagreements about exposures, associated with rate or price changes should decline after are made public. test for this relationship across three samples of firms provide mandated first time in their 10-K reports. find rates prices consistently declines filing exposed interest and foreign currency exchange rates. In contrast, commodity changes, we limited evidence energy prices, no non-energy prices. explore several explanations weaker results, some relating potential deficiencies reported information others research design issues. general, interpret results as providing suggesting risks.