Voluntary Disclosure Strategies and the Cost of Capital of Italian Blue Chips

36 Pages Posted: 29 Mar 2011 Last revised: 6 May 2015

See all articles by Guido Max Mantovani

Guido Max Mantovani

International University of Monaco; Ca' Foscari University in Venice – Department of Management

Carlo Bagnoli

Ca Foscari University of Venice - Department of Management

Date Written: January 14, 2011

Abstract

How do the Italian blue chips actually deal with disclosure about their business model? Does their disclosure strategies affect the cost of capital through a reduction in information risk premia? Performing a cluster analysis on the contents reported in annual reports, investor relations and press releases, the study firstly identifies four different disclosure strategies. Subsequently it uses an original model to extract the information risk premia from time series of stock prices and trading volumes time. The level of information risk premia is split between market-related and firm-specific drivers in order to compute their correlation with trading volume and the different disclosure strategies identified. Overlaps from results in cluster analysis and information risk premia determinants let us conclude that broad and exhaustive financial communication allows reduction of the cost of capital.

Keywords: Corporate disclosure, information asymmetries, risk premia

JEL Classification: G14, G32, M48, M49

Suggested Citation

Mantovani, Guido Max and Bagnoli, Carlo, Voluntary Disclosure Strategies and the Cost of Capital of Italian Blue Chips (January 14, 2011). Available at SSRN: https://ssrn.com/abstract=1794982 or http://dx.doi.org/10.2139/ssrn.1794982

Guido Max Mantovani (Contact Author)

International University of Monaco ( email )

14, Rue Hubert Clerissi
Stella Palace
Monaco, Monaco MC-98000
Monaco

Ca' Foscari University in Venice – Department of Management ( email )

Cannaregio 873
Venice, Veneto 30123
Italy
0039-041-2348727 (Phone)
0039-041-2348701 (Fax)

HOME PAGE: http://www.unive.it/management

Carlo Bagnoli

Ca Foscari University of Venice - Department of Management ( email )

San Giobbe, Cannaregio 873
Venice, 30121
Italy

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