Value Reporting Quality, Operating Performance, and Stock Market Valuations
Stockholm School of Economics
Alexander F. Wagner
University of Zurich - Department of Banking and Finance; Centre for Economic Policy Research (CEPR); European Corporate Governance Institute (ECGI); Swiss Finance Institute
October 12, 2015
Swiss Finance Institute Research Paper No. 11-25
Going beyond just requiring more disclosure, the concept of "Value Reporting" emphasizes the idea that it may be in firms' own interest to provide investors and other stakeholders with a holistic picture of their value generation activities. Using an index of value reporting quality (VRQ) that was explicitly designed to capture variation in value reporting among firms, we document, using more than a decade of data, that firms with better VRQ deliver better future operating performance, obtain greater economic value added, and exhibit higher valuation ratios. These results hold controlling for firm fixed effects as well as with two instrumental variables approaches. In recent years, stock prices appear to incorporate the notion that value reporting supports value generation.
Number of Pages in PDF File: 64
Keywords: Value Reporting, voluntary disclosure quality, operating performance, portfolio analysis, disclosure
JEL Classification: G11, G14, M41
Date posted: July 6, 2011 ; Last revised: October 13, 2015
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