An empirical analysis of the impact of differences in the disclosure among companies on the equity premium

キギョウカン　ノ　ディスクロージャー　ノ　チガイ　ガ　カブシキ　プレミアム　ニ　アタエル　エイキョウ　ニ　カンスル　ジッショウ　ブンセキ

サカモト, ジュン

Sakamoto, Jun

リスクプレミアム

Fama-French3 ファクターモデル

Disclosure

Risk premium

Fama-French 3factor model

This paper analyzes the impact of the disclosure on the equity premium. We also investigate whether or not the effect of the disclosure on the premium depends on market uncertainty. We obtain the following empirical results. In the case that the market uncertainty is low, the equity premium and the level of disclosure have the insignificant negative relationship. In contrast, when the market uncertainty is high, the negative relationship between the level of the disclosure and the equity premium is strongly supported.