Disclosure Similarity and Future Stock Return Comovement

Management Science (Forthcoming)

51 Pages Posted: 6 Dec 2021 Last revised: 7 Nov 2022

See all articles by Travis Dyer

Travis Dyer

Brigham Young University

Darren T. Roulstone

Ohio State University (OSU) - Fisher College of Business

Andrew Van Buskirk

Ohio State University (OSU) - Department of Accounting & Management Information Systems

Date Written: October 1, 2022

Abstract

Existing research often assumes that firms’ financial reporting choices influence their return comovement with other firms. We examine the validity of that assumption. First, we provide initial evidence suggesting that similarity in two firms’ disclosures not only predicts, but influences, future return comovement between those two firms. Second, we show that this predictive ability aggregates to the market level; disclosure similarity can be used to estimate more accurate forwardlooking market betas. Taken together, these two results suggest that firms’ reporting decisions can influence their firms’ betas even in the absence of changes to capital structure or operations.

Keywords: Return Comovement; Disclosure Similarity; Textual Analysis; Beta;

JEL Classification: G10; G11; M40; M41; D83; C5;

Suggested Citation

Dyer, Travis and Roulstone, Darren T. and Van Buskirk, Andrew, Disclosure Similarity and Future Stock Return Comovement (October 1, 2022). Management Science (Forthcoming), Available at SSRN: https://ssrn.com/abstract=3975547 or http://dx.doi.org/10.2139/ssrn.3975547

Travis Dyer

Brigham Young University ( email )

Provo, UT 84602
United States

Darren T. Roulstone

Ohio State University (OSU) - Fisher College of Business ( email )

2100 Neil Avenue
Columbus, OH 43210-1144
United States

Andrew Van Buskirk (Contact Author)

Ohio State University (OSU) - Department of Accounting & Management Information Systems ( email )

2100 Neil Avenue
Columbus, OH 43210
United States

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
574
Abstract Views
1,752
Rank
102,316
PlumX Metrics