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Do Risk Disclosures Matter When It Counts? Evidence from the Swiss Franc Shock
Journal of Accounting Research ( IF 4.446 ) Pub Date : 2020-10-14 , DOI: 10.1111/1475-679x.12338
LUZI HAIL 1 , MAXIMILIAN MUHN 2 , DAVID OESCH 3
Affiliation  

We examine the relation between disclosure quality and information asymmetry among market participants following an exogenous shock to macroeconomic risk. In 2015, the Swiss National Bank abruptly announced that it would abandon the longstanding minimum euro‐Swiss franc exchange rate. We find evidence suggesting that firms with more transparent disclosures regarding their foreign exchange risk exposure ex ante exhibit significantly lower information asymmetry ex post. The information gap in bid‐ask spreads appears within 30 minutes of the announcement and persists for two weeks, during which new information gradually substitutes for past disclosures. We validate the information dynamics of past risk disclosures with three field surveys: (1) Sell‐side analysts emphasize the importance of existing (risk) disclosures in evaluating the translational and transactional effects of the currency shock. (2) Lending banks’ credit officers rely on past disclosures as the primary information source available for smaller (unlisted) firms in the immediate aftermath of the shock. (3) Investor‐relations managers use existing financial filings as a key resource when communicating with external stakeholders. The results suggest that historical disclosures help investors attenuate information asymmetry in light of unexpected news.

中文翻译:

风险披露很重要吗?瑞士法郎冲击的证据

在宏观经济风险受到外生冲击之后,我们研究了市场参与者之间的披露质量与信息不对称之间的关系。2015年,瑞士国家银行突然宣布将放弃长期的最低欧元瑞郎最低汇率。我们发现的证据表明与更透明的信息披露关于其外汇风险敞口,企业事前展览显著降低信息不对称的事后。买卖差价中的信息缺口在公告发布后的30分钟内出现,并持续两周,在此期间,新信息逐渐替代了过去的披露。我们通过三个现场调查来验证过去风险披露的信息动态:(1)卖方分析师强调了现有(风险)披露在评估货币冲击的转换和交易影响方面的重要性。(2)冲击后不久,放贷银行的信贷人员就依靠过去的披露作为较小(非上市)公司的主要信息来源。(3)与外部利益相关者进行沟通时,投资者关系经理将现有财务备案作为关键资源。
更新日期:2020-10-14
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