The Impact of Internet-Based Disclosure on Capital Market Risk

30 Pages Posted: 9 Oct 2012  

Li Li

GSCM-Montpellier Business School

Date Written: June 6, 2012


This study examines the relationship between Internet-based disclosure and capital market risk. Based on prior research, an index of 49 items is developed to evaluate the level of Internet-based voluntary disclosure in France. Three measures are used to present the capital market risk: total risk is measured by the standard deviation of stock returns, and systematic risk and idiosyncratic risk are the beta and standard deviation of the residuals generated from the market model, respectively. A series of corporate governance factors are also introduced in order to analyze their effect on capital market risk. The results show that total risk and idiosyncratic risk vary inversely with the strength of Internet disclosure. This indicates that improved online disclosure can reduce investors’ uncertainty in the capital market. However, systematic risk is not influenced by the disclosure practice. Furthermore, capital concentration and board size are negatively associated with total and idiosyncratic risk.

Keywords: Internet-based Disclosure, Risk, Corporate Governance, Stock Return Volatility

Suggested Citation

Li, Li, The Impact of Internet-Based Disclosure on Capital Market Risk (June 6, 2012). 29th International Conference of the French Finance Association (AFFI) 2012. Available at SSRN: or

Li Li (Contact Author)

GSCM-Montpellier Business School ( email )

2300, Avenue des Moulins
Montpellier, 34185

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