The effect of information disclosure on market reaction with meta-analysis approach

Subject Areas : Financial Accounting

Shiva  Zamani ¹ (Department of Finance, Arak Branch, Islamic Azad University, Arak, Iran)
Majid  Zanjirdar ² (Department of Management, Arak Branch, Islamic Azad University, Arak, Iran)
Ali  Lalbar ³ (Department of Accounting, Arak Branch, Islamic Azad University, Arak, Iran)

Received: 2021-08-09 Accepted : 2021-10-10 Published : 2022-07-01

Keywords: meta-analysis, company cycle effect size, Non-financial information company size, Financial Information,

Abstract :

The present research aims to conduct meta-analysis of the effect of information disclosure on market reaction. In order to integrate the results of different researches and identify the determinants of relations between information disclosure and market reaction, we used meta-analysis methodology as a quantitative statistical method. To perform the meta-analysis method, the scientific magazines all over the world (the published papers relating the research variables from 1990 to 2020) were identified and gathered as statistical population and. As a result, 86 studies were analyzed using systematic removal. The results of the relating studies published during this period indicate that most of these studies are heterogeneous. By classifying these studies based on different measurement criteria of information disclosure and market reaction and also by calculating the intragroup statistics along with identifying the factor of this heterogeneity, we found that these diverse measurement criteria used in the mentioned studies are considered as contradiction factors in research results. We also found that there is no meaningful relation between Non-financial information component, company cycle, type of industry and company size with market reaction whereas there is a meaningful relation between financial information and market reaction.

References:

[1] Abbasi Astamal,M. Zeinali,M. Baradaran Hassanzadeh,R. Explain and Prioritize Information Disclosure 
Factors Related to Sustainable Development Accounting with Fuzzy Approach, Advances in Mathematical 
Finance and Applications, 2021, 6(4), P.851-868 Doi: 10.22034/AMFA.2020.1900209.1429

[2] Belkaoui-Riahi A., Level of multinationality, growth opportunities and size as determinants of analysts ratings 
of corporate disclosure,. accounting organizations and society, 2001,19(2), P. 115-220.

[3] Botosan, C., Plumlee, M. A. A re-examination of disclosure level and the expected cost of equity capital. 
Journal of Accounting Research , 2002, 40(1), P. 21-40

[4] Brown, S., Warner, J., Using Daily Stock Returns: The Case of Event Studies, Journal of Financial Economics 
, 1985, 14, P. 3-31. Doi:10.1016/0304-405X(85)90042-X

[5] Burke, J., Hoitash, R., Hoitash, U., Xiao, S., The Determinants, Textual Properties, and Consequences of U.S. 
Critical Audit Matter Disclosure,. Financial Accounting , 2020. P.1-73.

[6] Chu, C.-H., Hsu, J., Young, W., Price Behavior of Qualified Companies around the Audit Report and Report 
Announcement Days: The Case of Taiwan, Journal of International Financial Management and Accounting , 
2011,P.114-130. Doi:10.1111/j.1467-646X.2011.01047.x

[7] Etemad, c., Amir khani, k., Rezaei, M., Value content of mandatory disclosure, Quarterly Journal of the Stock 
Exchange , 2013,13, P.235-252.

[8] Fernando, C., Hoelscher, S., Raman, V., The Informativeness of Derivatives Use: Evidence from Corporate 
Disclosure through Public Announcements, Journal of Banking and Finance , 2019, P.1-59.

[9] Fernandes, N., Lel, U., Miller, D., Escape fromNewYork:The market impact of loosening disclosure 
requirements, JournalofFinancialEconomics , 2010, P.129–147.

[10] Fishman, M., Hangerty, K., Mandatory versus voluntary disclosure in markets with informed and uninformed 
customers, Journal of Law, Economics and Organization , 2003, 1(19), P.45-63.

[11] Foster, G. Stock Market Reaction to Estimates of Earnings per Share by Company Officials. 1973.Journal of 
Accounting Research . Doi: 10.2307/2490279

[12] Gelb, D. S., Zarowin, P., Corporate disclosure policy and the informativeness of stock prices, Review of 
Accounting Studies , 2002, 7, P.33–52.

[13] Gordon, E., Henry, E., Peytcheva, M., Discretionary disclosure and the market reaction to restatements,
Review of Quantitative Finance and Accounting , 2013, 41(1), P.75-110.

[14] González, N., Callado-Mu˜noz, F., QuarterlyARTICLEDo investors react to corporate governance news? An 
Anempirical analysis for the Spanish market, BRQ Business Research Quarterly , 2015, P.1-13.

[15] Grewal, J., Riedl, E., Serafeim, G., Market Reaction to Mandatory Nonfinancial Disclosure, Working paper 
, 2017, P.1-47.

[16] Griffin, P., Sun, Y., Going green: Market reaction to CSRwire news releases, J. Account. Public Policy, 2013. 
P.93-113.

[17] Izadikhah, M., Farzipoor Saen, R. Solving voting system by data envelopment analysis for assessing sustainability of suppliers. Group Decis Negot, 2019, 28, P. 641–669. Doi: 10.1007/s10726-019-09616-7

[18] Izadikhah, M., Azadi, M., Toloo, M., Hussain, F.K., Sustainably resilient supply chains evaluation in public transport: A fuzzy chance-constrained two-stage DEA approach, Applied Soft Computing, 2021, 113(B), Doi: 10.1016/j.asoc.2021.107879.

[19] Poordavoodi, A., Reza, M., Haj, H., Rahmani, A. M., Izadikhah, M., Toward a More Accurate Web Service Selection Using Modified Interval DEA Models with Undesirable Outputs. CMES-Computer Modeling in Engineering & Sciences, 2020, 123(2), P. 525–570. Doi: 10.32604/cmes.2020.08854

[20] Azadi, M., Izadikhah, M., Ramezani, F., Hussain, F.K., A mixed ideal and anti-ideal DEA model: an application to evaluate cloud service providers, IMA Journal of Management Mathematics, 2000, 31(20), P. 233–256, Doi: 10.1093/imaman/dpz012

[21] Izadikhah, M., A Fuzzy Goal Programming Based Procedure for Machine Tool Selection, 2015, 28(1), P. 361-372, Doi: 10.3233/IFS-141311

[22] Izadikhah, M. Financial Assessment of Banks and Financial Institutes in Stock Exchange by Means of an Enhanced Two stage DEA Model. Advances in Mathematical Finance and Applications, 2021, 6(2), P. 207-232. Doi: 10.22034/amfa.2020.1910507.1491

[23] Gupta, P., Kennedy, K., Weaver, S., Corporate Governance And Firm Value:Evidence From Canadian 
Capital Markets, Corporate Ownership and Control , 2009, P.293-307.

[24] Haggard, S., Martin, x., Pereira, R., Does Voluntary Disclosure Improve Stock Price Informativeness? 
Financial Management , 2008, 37(4), P.747-768.

[23] Hajian, N., Anwari Rostami, A. A., Rahmani, A., Azar, A., Investigating the effective factors on the level of 
information disclosure of companies listed on the Tehran Stock Exchange, Financial Accounting Research, 2015. 
7(1), P.71-92.

[22] Hendriksen, E. S., Van Breda, M. F., Accouuting Theory, 5th edition. United States of America.1992: IRWIN. 
Inc.

[21] Hemmati, H., Jalili, A., Investigating the rate of disclosure of intellectual capital information in the financial 
reports of companies listed on the Tehran Stock Exchange, Accounting and Auditing Research, 2013, P.1-21.

[22] Horton, J., Serafeim, G., Market reaction to and valuation of IFRS reconciliation adjustments: first evidence 
from the UK, Rev Account Stud , 2010, P.725–751.

[23] Hossein poor, A., Poor heidari, H., Investigating the relationship between mandatory and Valuantry 
disclosure with the value of companies' share, Financial management perspective , 2015, 5, P. 9-28.

[24] Ianniello, G., Galloppo, G., Stock market reaction to auditor opinions – Italian evidence, Managerial 
Auditing , 2015, 30(6/7), P. 610- 632.

[25] Iran, Accounting, K. T., Audit, s., Accounting Standard No. 37, Financial Instruments Disclosures, Corporate 
Audit, 2018

[26] Jensen, M.C., Meckling, W.H., Theory of the firm: managerial behavior, agency costs and ownership 
structure, Journal of Financial Economics, 2002, 3, P. 305-360. 
 
[27] Kashani, M., Rahmani, A., Parchini, s., The relationship between voluntary disclosure and non-executive 
managers, Accounting and auditing reviews , 2010, P.85-100.

[28] Karimi Khorami, A., Zareie Sodani, A., Ahmadi, S., Investigate the Economic Consequences to the Timing 
of Earnings News Forecast for Accepted Corporates in Tehran Securities Exchange, Advances in Mathematical 
Finance and Applications, 2020, Doi:10.22034/AMFA.2021.1924367.1570

[29] Kargarpour, KH., Khodadadi, V., Jorjorzadeh, A., Salehid, A., Kaab Omeira, A., Idiosyncratic Risk and Disclosure of Corporate Social Responsibility: Emphasizing the Role of Corporate Governance, Advances in Mathematical Finance and Applications, 6(1), 2021, P.95-117. Doi: 10.22034/amfa.2020.1878505.1293

[30] LENNOX, C., SCHMIDT, J., THOMPSON, A., Why are expanded audit reports not informative to 
investors? Evidence from the UK, Corporate Control and Organization , 2020. P.1-60.

[31] Lorraine, N. H., Collison, D. J., Power, D. M., An analysis of the stock market impact of environmental 
performance information, Accounting Forum , 2004. P.7-26.

[32] Mahdavi, Gh., Daryaei, N., Investigating the relationship between company size, type of industry and 
profitability with disclosure of environmental and social accounting information, Empirical Accounting Research, 2015,1(8).

[33] Mechelli, A., Cimini, R., Mazzocchetti, F., The usefulness of the business model disclosure for investors’ 
judgements in financial entities. A European study, Revista de Contabilidad – Spanish Accounting Review , 2017, 
P.1-12.

[34] Moussa, F., Delhoumi, E., Ouda, O. B., Stock return and volatility reactions to information demand and 
supply, Research in International Business and Finance, 2017, 39, P.54-67.

[35] Naser, K., Alkhatib, K., Karbhari, Y., Empirical evidence on the depth of corporate information disclosure 
in developing countries: the case of Jordan, International Journal of Commerce and Management, 2002, 12(3/4), 
P.122- 34

[36] Negre, E., vcrdier, M., Cho, c., Disclosure strategies and investor reactions to downsizing announcements: 
Alegitimacy perspevtive, Account . public policy. 2017

[37] Owusu-Ansah, S., The impact of corporate attributes on the extent of mandatory disclosure and reporting by 
listed companies in Zimbabwe, International Journal of Accounting , 1998, 33(5), P.605−631.

[38] Pourheidari, A., Hosseinpour, H., Investigating the relationship between mandatory and optional disclosure 
with the value of companies' shares, Financial Management Perspective, 2015, 5, P. 9-28.

[39] Roosenboom, P., A. van Dijk, M., The market reaction to cross-listings: Does the destination market matter?
Journal of Banking and Finance , 2009, P.1898–1908.

[40] Serafeim, G., Ioannou, I., Cheng, B., Corporate Social Responsibility and Access to Finance, Strategic 
Management Journal , 2014, 35(1), P.1-23.

[41] Setayesh, m. H., Kazem Nejad, M., Zolfaghari, M., Investigating the effect of disclosure quality on stock 
liquidity and capital cost of companies listed on the Tehran Stock Exchange, Journal of Financial Accounting 
Research, 2012.Third Year, 3, P.55-74.

[42] Singhavi, S. S., Desai, H. B., An empirical analysis of the quality of corporate financial disclosure, The 
Accounting Review, 1971, 46(1), P.129-138.

[43] Souissi, M., Khlif., H., Meta-analytic review of disclosure level and cost of equity capital, International Journal of Accounting and Information Management, 2012, 20(1), P.49-62.

[44] Tabeli, H., Morad zadeh, M., Kashi, M., Drohi, z., Hoseeini, s., Investigating the effect of quality disclosure 
and voluntary disclosure of information on information asymmetry, Public Management Research , 2018, 42, P.
201-227.

[45] Uyar, A., Kiliç, M., Value relevance of voluntary disclosure: evidence from Turkish firms, Journal of Intellectual Capital, 2012, 13(3), P. 363-376.

[46] Whisenant, J., Sankaraguswamy, S., Raghunadan, K., Market reactions to disclusre of reporTable events,
Journal of Practice and Theory, 2003, 22(1), P.181-194