search query: @indexterm RISK BEHAVIOUR / total: 47
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| Author: | Jorgensen, B. N. Kirschenheiter, M. T. |
| Title: | Discretionary Risk Disclosures |
| Journal: | Accounting Review
2003 : APR, VOL. 78:2, p. 449-470 |
| Index terms: | RISK PRICING RISK MANAGEMENT RISK BEHAVIOUR |
| Language: | eng |
| Abstract: | The authors model managers' equilibrium strategies for voluntarily disclosing information about their firm's risk. The authors consider a multifirm setting in which the variance of each firm's future cash flow is uncertain. The authors establish how the manager's discretionary risk disclosure affects the firm's share price, expected stock returns, and beta, within the framework of the Capital Asset Pricing Model. The authors show that whereas one manager's discretionary disclosure of his firm's risk does not affect other firms' share prices, it does affect the other firms' betas. Finally, the authors show that ex ante, the expected risk premium and expected beta of each firm are higher under a mandatory risk disclosure regime than in the partial disclosure equilibrium that arises under a voluntary disclosure regime. |
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