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Risk Disclosure and Firm Value: Evidence from the United Kingdom

| Jan 29, 2021

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Central European Economic Journal

Volume 8 (2021): Issue 55 (January 2021)

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Published Online: Jan 29, 2021

Page range: 15 - 24

DOI: https://doi.org/10.2478/ceej-2021-0002

Keywords
market valuation, risk disclosures, IFRS 7, downside risk

© 2021 Tache Marta, published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Firm characteristics measured by risk disclosure and firm characteristics

	Tobin's Q
	(1)	(2)
Currency_risk	−0.0675* (0.0271)	−0.0310** (0.0115)
Credit_risk	0.0569* (0.0253)	−0.0318** (0.0106)
Liquidity_risk	−0.0227 (0.0208)	0.00715 (0.00892)
Hardscore	0.0189 (0.0155)	−0.0273*** (0.00688)
Total_numbers_of_words	0.0259 (0.0356)	0.0730*** (0.0150)
Size		−0.0109 (0.00894)
Sales_growth		−0.00197 (0.0110)
Age		0.0833*** (0.0101)
Leverage		0.880*** (0.00963)
Volatility		0.0176 (0.0111)
Constant	0.594*** (0.158)	0.0850 (0.0741)
Industry fixed effects	Yes	Yes
Year fixed effects	Yes	Yes
N	1977	1685
Adj. R²	0.119	0.862

Alternatives measures of firm value

	Tobin's Q
	(1)
Hardscore	−0.0294*** (0.00658)
Total_numbers_of_words	0.0409*** (0.0105)
Size	−0.0158 (0.00847)
Age	0.0870*** (0.00936)
Leverage	0.869*** (0.00917)
Constant	0.109* (0.0508)
Industry fixed effects	Yes
Year fixed effects	Yes
N	1,828
Adj. R²	0.859

Summary statistics: Firm value

Variable	Mean	Var	SD	Min	Max	Sum
TobinQ	0.599027	0.060885	0.24675	0.0904696	1.498183	1737.179
Currency_risk	337.9087	65,588.8	256.1031	0	1,211	909,988
Credit_risk	254.4588	33,803.9	183.8584	0	890	685,003
Liquidity_risk	289.2518	46,472.65	215.5752	1	732	778,955
Hardscore	2.463424	2.518443	1.58696	0	6	6,634
Total_numbers_of_words	1,664.364	826,869	909.3234	248	4,553	4,482,133
Size	14.02631	2.972186	1.724003	9.904737	18.39878	46,960.07
Sales_growth	9,982.709	1.95E12	1,395,131	−1.35E07	5429232	3.21E07
Age	47.10369	1,253.893	35.41035	4	136	154,453
Leverage	0.576811	0.055007	0.234535	0.0821182	1.354258	1,931.164
Volatility	24.09152	188.683	13.73619	0	54.08	83,308.48

Tobin's Q: firm fixed effects

	Tobin's Q
	(1)	(2)
Currency_risk	−0.0339 (0.0263)	−0.0282* (0.0137)
Credit_risk	0.0114 (0.0251)	−0.00587 (0.0127)
Liquidity_risk	−0.00418 (0.0155)	0.00620 (0.00779)
Hardscore	−0.0178 (0.0168)	−0.0103 (0.00887)
Total_numbers_of_words	0.0474 (0.0324)	0.00114 (0.0162)
Size		0.118*** (0.0344)
Sales_growth		0.00901 (0.00646)
Age		−0.0282 (0.471)
Leverage		0.845*** (0.0124)
Volatility		0.0290** (0.0110)
Constant	0.566 (0.426)	−0.0154 (0.792)
Industry fixed effects	Yes	Yes
Year fixed effects	Yes	Yes
N	1,977	1,685
Adj. R²	0.800	0.960

eISSN:: 2543-6821
Language:: English

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