The effect of information disclosure on market reaction with meta-analysis approach
الموضوعات :
Shiva Zamani
1
,
Majid Zanjirdar
2
,
Ali Lalbar
3
1 - Department of Finance, Arak Branch, Islamic Azad University, Arak, Iran
2 - Department of Management, Arak Branch, Islamic Azad University, Arak, Iran
3 - Department of Accounting, Arak Branch, Islamic Azad University, Arak, Iran
الکلمات المفتاحية: meta-analysis, company cycle effect size, Non-financial information company size, Financial Information,
ملخص المقالة :
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.
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| Advances in Mathematical Finance & Applications www.amfa.iau-arak.ac.ir Print ISSN: 2538-5569 Online ISSN: 2645-4610 Doi: 10.22034/AMFA.2021.1937478.1625 |
Article Info Article history: Received 2021-08-09 Accepted 2021-10-10
Keywords: Meta-Analysis Financial Information Non-financial Information Company Size Company Cycle Effect Size |
| 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. |
1 Introduction
The investigation of annual reports of the companies shows that the quality of information disclosed in such reports is different and contradictory and as a result, the difference in information disclosure of companies is more probably due to management thinking and his intellectual philosophy and preference in information disclosure for investment purposes. It should be noted that no research has studied meta-analysis of the effect of information disclosure on market reaction so far; so, the mentioned topic has research vacuum.
The aims of disclosure are reaching the performance evaluation, forecasting the profitability trend in the future and managing the business corporation in how to use the limited resources. The issue of information disclosure not only encompasses limited group of finance users but also the need wide range of society people such as professional assemblies, creditors, state, investors and other financial decision makers. Despite the extensive studies and investigations about information disclosure [5;28;8;32] the findings of researches about the effect of information disclosure on market reaction indicate some contradictions and inconsistencies. For example, [10] answered two following questions in their research namely "mandatory disclosure against voluntary disclosure in markets with informed and uninformed customers":
Why the sellers don’t disclose information voluntarily?
Who loses or gains from voluntary or mandatory disclosure?
They indicated that very few people realize disclosure and voluntary disclosure may not be useful whereas mandatory disclosure is useful for informed customers and is neutral for uninformed customers. In their research, [13] investigated the market reaction to the voluntary disclosure of restatements. Their research indicated that management disclosure relating the restatements will result to market reaction during giving financial restatements. During studying the effect of disclosure variable on market reaction, some researches such as; [7]; [35] and; [13] found a meaningful relation between these two variables while the research findings of; [27] didn’t show any meaningful relation. Also, there was a meaningful relation between mandatory disclosure and market relation for informed customers in a research done by; [10] while no meaningful relation was indicated between voluntary disclosure and market reaction. In their international research, [15] dealt with market reaction to mandatory disclosure of nonfinancial information. Their research results show that market reaction to the disclosure of nonfinancial information is positive and investors expect future benefits from such disclosures. Given the previous contradictory results, this research conducted a meta-analysis about this part of literature by identifying and gathering the relating empirical studies in order to make the final conclusion possible to better understand information disclosure in market reaction by merging results and identifying different factors in the results of studies, because as noted in the previous sections, the related researches didn’t show any similar results information disclosure and market reaction.
Experiences and researches performed in different countries show that business corporations often don’t desire to increase the level of financial information disclosure without legal pressures or professional obligations. That’s why the institutions and bodies of the most countries which supervise the Stock Exchange obliged companies to improve quality and to increase the quantity of financial information disclosure by enforcing specific regulations. There are more than three goals for disclosure in financial reports. They include: evaluating the performance of a business corporation, assessing the resource utilization and forecasting the profitability trend. It should be noted that one of the main reasons of removing companies from the Tablet of Stock Exchange is that they don’t observe the policy of information disclosure. Based on the information disclosure regulations, all companies accepted in the Stock Exchange are obliged to disclose the following information to the Stock Exchange and the public in accordance with the specified regulations:
Seasonal, midterm and annual financial statements and reports. Date of holding general meeting and extraordinary general meeting and the decisions made in those meetings. Personal information of individuals who hold classified and secret information. The companies are also obliged to disclose the following important information to Stock Exchange immediately:
The events that affect activity, financial condition and the issuer performance results.
The decisions and conditions that affect capital structure and financing.
Other important information that affect issuer securities price and investors decision.
2 Theoretical Framework
In this research, the meta-analysis was used in order to better summarize the opposed results of diverse investigations conducted about the influence of voluntary and mandatory disclosures of financial and nonfinancial information on capital market. Today, in developing countries, capital market is considered as a tool to increase investment and economic growth. One of the important induces of financial market is the existence of complete and transparent information. In other words, the lack of information will result to exchange cost increase and disability of market to better allocate resources. Asymmetry of information may lead to incorrect valuation of company and there may be an impetus to correct that incorrect valuation by disclosing more information. [20] define disclosure as follows: "in general, disclosure is reflection of information". But, accountants take a more limited meaning for disclosure and consider it as reflection of financial information of a business corporation in format of financial reports which are issued annually. [1] believes that disclosure encompasses information that is useful for normal investors and doesn’t mislead the reader. More clearly, disclosure principle means that no important attractive information should be omitted or hidden. [40] completed their research in the United States namely "the empirical analysis of financial disclosure quality of the firms".
They believed that information disclosure of the firms can take different forms and annual reporting to shareholders is an important form periodic disclosure of the firms. According to Circular-Directive 2014/95/EU, nonfinancial information disclosure in management annual reporting is information about policies, risks and results about environmental issues, social aspects, work force, respecting human rights, anti-corruption issues and diversity in board of directors. This circular is used to provide a more comprehensive picture of investors and other beneficiaries' consistency. In recent decades, the number of corporations which disclose nonfinancial information has increased significantly. For example, the number of corporations which issue sustainability reports has increase from less than 50 corporations in 1995 to more than 6000 corporations in 2015; [38]. In this case, effective factors include the stakeholder groups' pressures on companies to disclose information about environmental and social effects of their activities and also procedures relating the governance.
Moreover, the interest of inventors to nonfinancial data is increased; for example, increasing government regulations about environmental issues has led to increasing unadjusted disclosure of environmental debts. As a result, previous literature approves that corporations with superior performance for ESG (environmental, social and governance) have better access to funds and financial resources and corporations which issue sustainability report less capital cost. Most of last researches are conducted in accordance with corporate voluntary disclose method. In contrast, several financial mandatory disclosure regulations have recently provided. Researches show that mandatory disclosure plans obliged companies to improve their operating performance in accordance with environment, food safety and water; [15]. According to efficient market hypothesis (EMH), market should be big and cash. Information should also be available to investors at any time in terms of accessibility and cost. Transactions cost should also be less than expected return on investment and investors should have enough funds and financial resources in order to use inefficient cases until they exist.
Many criticisms and arguments could be used against efficient market hypothesis. Among these criticisms and arguments, we can refer to "January effect" which says that investors usually gain more in the first month of each year. In fact, these arguments express that there are some predicTable patterns to determine share price and this in turn questions the subject of being accidental for changes. Some other financial economists also say that share price is always influenced by profiTable behavior of investors not by available information in the market. The main reason for information disclosure need is information asymmetry and interest conflict between managers and investors. In this regard, disclosure strategy of the company plays an important role in decreasing information asymmetry level between managers and foreign investors because information asymmetry may result in incorrect valuation of company and there may be an impetus to correct that incorrect valuation by disclosing more information. This research is practically useful for companies, researchers, finance students and professors, financial and credit institutions and banks and eventually legislators and government in order to lend facilities and determine credit terms so that they not only provide a clear insight into the reasons of existence of contradictions around different statements of information disclosure and market reaction, but also an integrated view for users to use that information.
3 Research Background
[8] investigated the disclosure of information relating the derivatives using public notifications about market reaction. Their research results indicate that when companies explicitly disclose information, the gold market and stock market will subject to positive or negative reaction of share price in disclosing companies and other companies due to changing market viewpoint towards future. As a result, they reached a meaningful relation between information disclosure and information demand [32] investigated stock return reaction and its fluctuations to information supply and demand. Their empirical evidence indicated that primary general information is influenced by stock return and eventually showed that the impact of general information on stock return and fluctuations is influenced by two following factors:
Disclosing the reports of company and market.
Properties of participants in the market and interpretations of precise news and risk-taking. [9] studied the relation between voluntary disclosure of corporate social responsibility and share prices of companies accepted in Italian Stock Exchange. Their research was conducted during 2002 to 2007 by a regression model about all companies accepted in Italian Stock Exchange which issue the corporate social responsibility report. Results indicated that disclosing social positive behaviors of employees has positive effect on share price increase whereas disclosing other social responsibilities of environment and its relation with society has negative effect on share price.; [18] dealt with the investigation of relation between voluntary disclosure improvement and information content of share price. This investigation was conducted on 2084 companies during 1982 to 1995. The result was that voluntary disclosure level improvement will result to share price fluctuation decrease. Disclosure policies of the companies will also lead to positive effect on information content of shsre price and share return of those companies.; [43] investigated the ability of creating value by voluntary disclosure. They began to study 129 production companies accepted in Stock Exchange in Istanbul for financial year 2010. The results of this research showed that capital market participations react to voluntary disclosure of companies. In other words, investors give more value to companies which do more voluntary disclosure and this will lead to value increase of these companies.
4 Research Methodology
The research hypotheses are stated as follows:
Hypothesis 1: There is a significant relationship between information disclosure and market reaction.
Hypothesis 2: Financial information and non-financial information adjust the relation between information disclosure and market reaction.
Hypothesis 3: property such as size and age of the company and industry type adjust the relation between information disclosure and market reaction.
| (1) |
| (2) |
In equation (2), N is sample number and in equation (1), df is degree of freedom and is calculated in accordance with sample number and estimation parameters in regression. In this research, the population of interest is the articles (the articles resulting from conducted empirical researches) in connection with the effect of information disclosure on market reaction all over the world. These articles are identified and collected from website of foreign magazines and internet database of scientific magazines. As a result, among 188 collected studies, given the related restrictions, 86 studies were analyzed using systematic removal method. These studies are selected in accordance with the following Tables.
Table 1: Method of Selecting Information Disclosure Studies and Their Effect On Market Reaction in Order to Conduct a Meta-Analysis
188 | Number Of Initial Studies |
(33) (16) (6) (30) (7) (4) (6) | Exclusion criteria for studies Articles that did not have a Q1, Q2 index Articles not published in jcr journals Articles that did not have the same statistical method Articles that were not related to research variables Articles whose correlation coefficient or statistics are not reported Papers indexed at conferences and seminars Journal articles that were blacklisted |
86 | Final sample |
Table 2: Number of Articles Collected from Domestic and Foreign Resources and Databases
Number Of Articles | Database Of Data And Information |
43 | Elsevier |
17 | Springer |
15 | Science Direct |
8 | Emerald |
32 | Google scholar |
54 | Magiran |
19 | Other |
188 | Total |
Advantage of Meta-Analysis
High generalizability
Responsiveness
Statistical power and accuracy
Heterogeneity test
Use of protocol
Calculate the effect size
Hypothesized
Although meta-analysis is secondary research, it is empirically significant and conceptually seeks to discover new facts from old data, and usually, when meta-analysis findings are inconsistent with conventional knowledge of the subject, the issue in question indicates the existence of a conceptual vacuum and thus opens a new perspective for researchers to complete theoretical knowledge. In general, it can be said that meta-analysis:
Quantitative analysis is secondary analysis.
Its data sources are the results of research that has been done in the past. Instead of an individual or a company, the subject is a study, and because it is actually a combination of data from several studies to produce a single estimate, it is statistically a multifactorial method. Its purpose is to identify the relationship or effect of variables in various studies that are examined by the size of the effect. Used only in quantitative research including correlation, experimental and experimental simulation. Tries to overcome the problem of low statistical power of research with a small statistical sample.
Traditional statistical techniques such as F, t, etc. tests are not suitable for such a comparison. Because their values are a function of the sample size.
5 Research Variables
Dependent Variable: Dependent variable of this research is market reaction and we will explain its indexes in this article.; [11] considers two types of reaction and behavior in studies relating to event effect or information content for the market which are appeared as dependent variables in this research:
Individual market reaction
Overall market reaction
In the case of individual market reaction, the parameter of transaction volume indicates the reaction of individuals in capital market and the parameter of price indicates the overall market reaction to event occurrence. Of course, there is no reason for individual reaction and overall reaction of the market to be the same. For example, the whole market may doesn't react to part of information but this information may lead to increase or decrease of transaction volume because of heterogeneous expectations of investors or the existence of changes in their risky preferences; [11]; [14]; [31] and; [24] used stock market value to explain market reaction. Stock market value is calculated by share price and logarithm of multiplying share price and number of shares or stocks in the company.;
[4] used market model to estimate daily return and cumulative abnormal return in order to gain market reaction.; [37]; [29]; [22]; [24]; [35] used cumulative abnormal return to study the changes in reaction level of market to information disclosure. Also, [12] introduced share price changes and; [17] and; [16] defined return rate as measurement criterion of market reaction. Cumulative return is geometric sum of daily return. Daily return of companies is adjusted by subtracting daily return of market. In this research, price fluctuations of stock market which indicate market reaction are measured by following criteria.
Table 3: Measurement Formula of Return
Formula | Type | Indicator |
Rit=ai+β1Rmt+eit | Average Return | R |
ARit= Rit-E(Rit) | Abnormal Return | AR |
CARi(T1,T2)= | Cumulate Abnormal Return | CAR |
RT= Pt-Pt-1 | Effective Return | RT |
Independent variable: Independent variable of this research is disclosure level and we will explain its indexes. In the following section, measurement method of disclosure level by both indexes is defined in detail. Voluntary disclosure level is measured based on indexes offered by; [3] which are derived from the comments Jenkins Committee. In Botosan model, the utilized indexes were extracted by corporate strategic reports and grading figures of American companies. 71 indexes were investigated in terms of not being mandatory based on accounting or legal standards and then were defined in six general parts in Table 4. Their components and how to score each of them are expressed in the following sections. Voluntary disclosure score is calculated by dividing total score of 6 sections by receivable total score i.e. 134 scores. In this case, disclosure level is measured by index which is used by; [26] in the booklet of Stock Exchange Declarations. Disclosure level is measured as follows:
DSCORit= DISit/DISj | (3) |
DSCOR it= Level of company disclosure i in year t DIS it= Total disclosure of company i in year t DISj= Total score in the Jensen index |
|
Table 4: Components of Voluntary Disclosure Level Assessment
Number Of Indicators | Indicator |
17 | Background information |
8 | A summary of the important historical results |
10 | Key of non-financial statistics |
7 | Information of each section |
10 | Forecast information |
19 | Management discussion and analysis |
71 | Total |
Disclosure level of each country is a number between zero and one and is calculated as scores of disclosed cases in Jensen model divide by the whole disclosure cases. This index in fact is a non-weight criterion for disclosure measurement which is introduced and used by; [26]. The conceptual model of the research is presented in Fig. 1.
Financial and Non-Financial Information
Non-Financial Information- NFI
Information on the structure of the board of directors, information on manpower, environmental performance report, report on the company's social activities, holding company training courses, information on after-sales service, number of employees, intellectual and human capital.
| ||||||||||||
Fig. 1: Conceptual Model of Research
|
Liquidity ratio, debt ratio, activity ratio, changes in working capital, changes in capital structure and, capital structure, financing policy, return on assets, return on equity, revenue forecast, cash flow forecast, major customers, suppliers, Report price changes, Information processing. In general, financial and non-financial information is presented separately in Table 5:
Table 5: Financial and Non-Financial Information Disclosed by Companies
Financial Information | Non-Financial Information |
Liquidity ratio | Information about the structure of the board |
Debt ratio | Manpower information |
Activity ratio | Environmental performance report |
Working capital changes | Corporate social activity report |
Changes in capital structure | Holding company training courses |
Information processing | After sales service information |
Financing policy | Number of Employees |
Return on assets | Intellectual and human capital |
Return on equity |
|
Revenue forecast |
|
Money forecast |
|
Main customers |
|
Suppliers |
|
Report price changes |
|
Company Size: Ahmado Nichols also believes that the production and dissemination of information is a costly activity, and large companies are likely to have the resources and expertise to publish high-disclosure financial statements and, of course, to comply more with disclosure rules. Therefore, it can be concluded that in large companies, the cost of each unit of disclosed information decreases and as a result, large companies perform more disclosures. According to [35] states that due to the economic possibilities in information production and storage, large companies are relatively willing to spend more resources on information production and information disclosure. Larger companies are more than small companies. Type of Industry: Also, companies in one industry may insist on disclosing certain items of information, but these items may not be relevant to other industries.
Company Cycle: There is also a belief about the life of the company that the amount of mandatory disclosure of the company is affected by its life, and companies with more history and better organized, are more likely to provide more information in their annual reports than younger companies.
6 Research Findings
The results of using and conducting a meta-analysis and its effect on the whole statistical sample are reflected in separate Tables. In meta-analysis approach, heterogeneity test of effect size is first considered in order to test the research hypotheses and determine the type of meta-analysis pattern used to test intended hypothesis. If data is homogeneous, we will use fixed effects pattern and if data is heterogeneous, random effects pattern will be used. The related results are shown in Table 6 and 7.
Table 6: Heterogeneity Test of Effect Size
Test result | Heterogeneity test H | Independent and dependent variable in each hypothesis | ||
Q Statistics | p-value | value I2 | ||
Random effects | 2116.297 | 0.000* | 90.219 | Disclosure of information with market reaction |
Random effects | 3863.245 | 0.000* | 95.211 | financial and non-financial information with market reaction |
Random effects | 379.136 | 0.000* | 84.702 | Company characteristics such as size, cycle and type of industry with market reaction |
Source: findings of researcher
*The significance levels are 5 percent
Table 7: The Results of Tests Based on Fixed or Random Effects
Test result | SAverage effect size | confidence interval | z Statistics | p-value | Independent and dependent variable in each hypothesis | |
upper bound | Lower bound | |||||
Confirm | 1.111 | 1.140 | 1.082 | 7.869 | 0.000* | Disclosure of information with market reaction |
Confirm | 1.152 | 1.207 | 1.099 | 5.877 | 0.000* | financial and non-financial information with market reaction |
Reject | 0.994 | 1.112 | 0.888 | -0.109 | 0.913* | Company characteristics such as size, cycle and type of industry with market reaction |
Source: findings of researcher
*The significance levels are 5 percent.
Therefore, due to heterogeneity, random effects pattern is used to estimate the effect size of these variables. Given that after studying the hypotheses of meta-analysis, we concluded that we should use random effect model to combine the results for effect size report, so the effect size report for the studies conducted in random model is shown in Table 7. In the following, we will examine the results of the effect of moderator variables, which are presented separately in Table 8.
Table 8: Statistical Inference of Moderator Variables
variable | observations | Sample size | Average effect size | confidence interval | |
Total studies | 484 | 3,015,084 | 6.092 | 1.055 | 1.110 |
financial information | 146 | 1,272,527 | 11.192 | 0.111 | 0.158 |
Non-financial information | 40 | 61,781 | 1.603 | -0.009 | 0.088 |
size of the company | 42 | 24,730 | 0.294 | -0.034 | 0.046 |
Type of industry | 6 | 428 | -0.239 | -0.145 | 0.114 |
Company life cycle | 11 | 11,971 | -0.054 | -0.076 | 0.072 |
First Hypothesis of Research: Meta-analysis results of the first hypothesis are shown in Table 9 "There is a significant relationship between information disclosure and market reaction".
Table 9: Meta-Analysis Results of the First Hypothesis
Independent and dependent variable in each hypothesis | Average effect size | confidence interval 95% | Test H0 | heterogeneity test H | Test result | |||||||||
upper bound | Lower bound | z-value | p-value | Q-value | p-value | I2 | Test result | |||||||
Disclosure of information with market reaction | 1.111 | 1.140 | 1.082 | 7.869 | *0.000 | 2116. 297 | *0.000 | 90.219 | Random effects | A significant and positive | ||||
Source: findings of researcher
*The significance levels is 5 percent
Table 10: Meta-Analysis Results of the Second Hypothesis
Independent and dependent variable in each hypothesis | Average effect size | confidence interval 95% | Test H0 | Heterogeneity test H | Test result | |||||
upper bound | Lower bound | z-value | p-value | Q-value | p-value | I2 | Test result | |||
financial information with market reaction | 0.135 | 0.158 | 0.111 | 11.192 | *0.000 | 17725.044 | *0.000 | 99.182 | Random effects | A significant and positive |
non-financial information with market reaction | 0.040 | 0.088 | -0.009 | 1.603 | *0.109 | 208.853 | *0.000 | 81.327 | Random effects | meaningless |
Source: findings of researcher
*The significance levels are 5 percent.
Total 86 studies, investigated the relation between disclosure factor and market reaction. Their meta-analysis results are shown in Table 9. The confidence interval (CI) is reported positive for these studies and the positive quantity for the mean z also denotes the positive relation between the relating variables. Given the meaningful level between variables, the relation between disclosure of information and market reaction is meaningful. Also, homogeneity test conducted for studies shows high level of heterogeneity which will result in random effects selection. Second Hypothesis of Research: Meta-analysis results of the second hypothesis are shown in Table 10. "The type of information disclosed (financial, non-financial) adjust the relation between information disclosure and market reaction".
186 observations out of 484 general observations have selected the types of financial and non-financial information as a factor of disclosure and examined its relationship with the market reaction, the results of their meta-analysis are shown in Table 10. The reported confidence interval of this number of studies is positive and also the positive mean number z for financial information indicates a positive relationship and for non-financial information indicates a positive relationship between the relevant variables, according to the amount of significance between the variables The disclosure between financial information and the market reaction is significant and positive. Also, the test of homogeneity between studies shows a large amount of heterogeneity that leads to the selection of random effects. Given that the specific properties of the financial information variable (research independent variable) change the relationships reported at the level of all related studies, this feature is a moderating variable and is a factor of conflict between related studies. Therefore, the second hypothesis is confirmed. Third Hypothesis of Research: Meta-analysis results of the third hypothesis are shown in Table 11. "Features such as the size and cycle of the company and the type of industry adjust the relationship between information disclosure and market reaction."
Table 11: Meta-Analysis Results of the Third Hypothesis
Independent and dependent variable in each hypothesis | Average effect size | confidence interval 95% | Test H0 | Heterogeneity test H | Test result | ||||||||
upper bound | Lower bound | z-value | p-value | Q-value | p-value | I2 | Test result | ||||||
Company cycle And market reaction | 0.002- | 0.072 | 0.076- | 0.054- | 0.957* | 10.723 | *0.379 | 6.745 | Fixed effects | meaningless | |||
Type of industry And market reaction | 0.016- | 0.114 | 0.145- | 0.239- | 0.811* | 26.792 | *0.000 | 81.338 | Random effects | meaningless | |||
size of the company And market reaction | 0.006 | 0.046 | 0.034- | 0.294 | 0.769* | 414.309 | 0.000* | 90.104 | Random effects | meaningless | |||
Source: findings of researcher
*The significance levels are 5 percent.
Out of 484 studies, 59 studies examined the characteristics of the company such as the life of the company - the type of industry and the size of the company with the market reaction, the results of their meta-analysis are shown in Table 11. The reported confidence interval of this number of studies is positive and also the negative number of mean z indicates a negative relationship between the variables of industry type and company life with market reaction, considering the amount of level of significance between variables, significance between these variables and market reaction. Not observed. Also, the test of homogeneity between studies shows a large amount of heterogeneity regarding the variables of firm size and type of industry, which leads to the selection of random effects, but in the case of firm life, due to homogeneity, a fixed effect relationship was chosen.
7 Conclusions
The present research aims to meta-analyze the effect of information disclosure on market reaction. Eventually, the results of research hypotheses indicated that the researches which were conducted for effective factors on market reaction of the companies were diverse and heterogeneous and they showed the necessity of conducting such a research with meta-analysis approach. Since the type and method of measuring information disclosure are considered as variables for adjusting the relation between them, some researchers such as; [13] investigated the reaction of market to voluntary disclosure of restatements. Their research indicated that restatements disclosure by management will result in market reaction during disclosing the restatements. According to [33] from the viewpoint of stakeholder theory, information disclosure is influenced by the authority of domestic and foreign stakeholders. Different stakeholders influence the goals and properties of the company and force the company to disclose information for the sake of information needs of stakeholders. On the one hand, legitimacy theory influences the information disclosure level from the viewpoints of company properties and corporate leadership. On the other hand, corporate leadership and ownership structure are considered as factors that indicate the level of company response to stakeholder’s demand. It is expected that the companies which have suitable corporate leadership mechanisms and more dispersion for ownership, are attractive for stakeholder’s demand to disclose more information. In their research, [44] investigated the market reaction to disclose reportable events of financial reporting standard31.
Their results indicated that reportable events disclosed in relation to auditor change have information contents for investors and will result in abnormal cumulative return about 2.75 percent to 5.53 percent in three-days period and weekly period respectively around declaration publication. In their research as factors affecting the information disclosure of the companies, [42] investigated the relation between big companies' properties (including ownership type, auditing company size and company size) and information disclosure using meta-analysis method. They used 16 articles published during 1997 and 2006 in order to study the effective factors. Their research has shown that auditing company size has meaningful relation with information disclosure of big companies. [6] investigated the effect of auditing report type on share price behavior of the companies in Taiwan. Their results indicated that publication of unacceptable auditor report makes negative return for investors. Therefore, difference in the types of auditing components is considered as one of the reason for the existence of contradiction between the results of these studies. Stock Exchange is recommended to enact laws and regulations to calculate the real value of the companies, their information transparency and better understanding their performance so that the companies accepted in Stock Exchange at least are forced to disclose more transparent information about their financial statements for consecutive years.
In addition, one of the necessary measures is more control over Stock Exchange as a reference institution to make accounting standards for quality of accounting information and quality of information disclosure. It is also necessary to identify important regulatory deficiencies and weaknesses and make necessary measurements for increasing disclosure quality by enacting laws and regulations or accounting standards. Additionally, legislators can use reliable results of meta-analysis to determine the importance of information disclosure properties and its effects on capital market reaction and enactment of suitable laws and regulations. Investors and creditors as external users are recommended to pay attention to using disclosed financial statements of the companies and comprehensiveness of disclosed information in order to make decisions in investments. Investors also can use reliable results of meta-analysis researches to assess the accuracy of accounting information during making decisions for buying and selling securities. This research not only gives a clear insight into the causes of existence of contradictions about the effect of information disclosure on market reaction but also provide an integrated view for audiences. Results of available contradictions in individual studies are shown as follows after integrating them with meta-analysis test.
The type of information disclosed (financial, non-financial) adjust the relation between information disclosure and market reaction". Considering the contradictory results of individual studies of disclosure of various types of information (financial and non-financial) on the market reaction of researchers such as [43], [15] who achieved inconsistent results; In the present study, using the post-telephone meta-analysis method of conflicting research data, we reached a consistent conclusion. Accordingly, the effect of various types of financial information (such as: annual profit, accounting profit, cash profit, profit growth rate, financial leverage, book value of all three, return on assets, etc.) and non-financial (such as: environmental news, disclosure of responsibility Social company, social trust, etc.) have been completely different in the reaction of the stock market.
Therefore, various types of information are provided as plugins. The results of the sovereignty meta-analysis are from the impact of disclosure of financial information on the stock market, but the market does not react to non-financial information and no correlation is observed between them; This means that shareholders in your financial analysis should be added mainly to financial information. In the reports of companies, attention has been paid to forecasting the capital market. The future of the corporate stock market does not help. Size and cycle of the company and the type of industry adjust the relationship between information disclosure and market reaction." According to the contradictory results of individual studies in the research of [31, 26, 40, 22] regarding the disclosure of information on Market reaction is the cause of discrepancies in the results due to the variables that modify the characteristics of the company such as the size and life of the company and the type of industry in which the company operates.
These variables were analyzed in the present study using meta-analysis It is because the characteristics of the company, such as the life and size of the company or the type of industry, cannot provide specific guidance on using the stock market to choose the best investment option for financial market participants. Researches are recommended to deal with the following topics in their future researches. From a wider perspective, the role of some variables such as competing environment, economic conditions, institutional mechanisms and other common ones used in information disclosure. Because of the role of economical and commercial environment and the activity of companies in different industries which aren’t dealt with in this research, researchers are recommended to conduct supplementary and integrated researches by considering different organizational conditions, competing environmental and economic conditions. Finally, researchers are recommended to deal with other issues such as conducting complementary research with a concentration on transparency effectiveness and properties of information disclosure and other properties of financial reporting in order to increase the quality of capital market and conduct a complementary research with a concentration on the effectiveness of reports, controls and domestic and foreign supervisors and consideration of weaknesses in control and other properties of information disclosure in order to increase the quality of disclosure.
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