Impact of Market Risk Disclosures on Stock Price Sensitivity to Oil and Gas Prices

1999 ◽  
Author(s):  
Daniel B. Thornton ◽  
Michael Welker
Keyword(s):  
Stock Price ◽  
Oil And Gas ◽  
Market Risk ◽  
Price Sensitivity ◽  
Market Risk Disclosures ◽  
Risk Disclosures

Early Evidence on the Informativeness of the SEC's Market Risk Disclosures: The Case of Commodity Price Risk Exposure of Oil and Gas Producers

1999 ◽  
Vol 74 (3) ◽  
pp. 251-280 ◽  
Author(s):  
Shivaram Rajgopal
Keyword(s):  
Sensitivity Analysis ◽  
Oil And Gas ◽  
Commodity Price ◽  
Market Risk ◽  
Price Risk ◽  
Risk Disclosure ◽  
Oil And Gas Producers ◽  
Early Evidence ◽  
Market Risk Disclosures ◽  
Risk Disclosures

The paper provides early evidence on the informativeness of commodity price risk measures required by the Securities and Exchange Commission's new market risk disclosure rules (SEC 1997). I use existing disclosures of oil and gas producers (O&G) to obtain proxies for the tabular and sensitivity analysis disclosures required by the new SEC rules. I find that proxies for the tabular and the sensitivity analysis format are significantly associated with O&G firms' stock return sensitivities to oil and gas price movements. This finding casts doubt on claims that the new market risk disclosures do not reflect firms' risk exposures. The proxies for the tabular format and sensitivity format disclosures are not substitutable explanations of firms' risk exposures. This evidence suggests that disclosures from one disclosure format are not comparable to those from the other reporting format.

Market Risk Disclosures and Board Gender Diversity in Gulf Cooperation Council (GCC) Firms

2017 ◽  
Vol 17 (4) ◽  
pp. 645-658 ◽  
Author(s):  
Khamis Hamed Al-Yahyaee ◽  
Ahmed Khamis Al-Hadi ◽  
Syed Mujahid Hussain
Keyword(s):  
Gender Diversity ◽  
Gulf Cooperation Council ◽  
Market Risk ◽  
Board Gender Diversity ◽  
Market Risk Disclosures ◽  
Risk Disclosures

The Effect of Mandated Market Risk Disclosures on Trading Volume Sensitivity to Interest Rate, Exchange Rate, and Commodity Price Movements

2002 ◽  
Vol 77 (2) ◽  
pp. 343-377 ◽  
Author(s):  
Thomas J. Linsmeier ◽  
Daniel B. Thornton ◽  
Mohan Venkatachalam ◽  
Michael Welker
Keyword(s):  
Exchange Rates ◽  
Interest Rates ◽  
Trading Volume ◽  
Foreign Currency ◽  
Market Risk ◽  
Currency Exchange ◽  
Currency Exchange Rates ◽  
Volume Sensitivity ◽  
Market Risk Disclosures ◽  
Risk Disclosures

We hypothesize that firms' 10-K market risk disclosures, recently mandated by SEC Financial Reporting Release No. 48 (FRR No. 48), reduce investors' uncertainty and diversity of opinion about the implications, for firm value, of changes in interest rates, foreign currency exchange rates, and commodity prices. We argue that this reduced uncertainty and diversity of opinion should dampen trading volume sensitivity to changes in these underlying market rates or prices. Consistent with this hypothesis, we find that after firms disclose FRR No. 48-mandated information about their exposures to interest rates, foreign currency exchange rates, and energy prices, trading volume sensitivity to changes in these underlying market rates and prices declines, even after controlling for other factors associated with trading volume. The observed declines in trading volume sensitivity are consistent with FRR No. 48 market risk disclosures providing useful information to investors.

Effect of SEC Financial Reporting Release No. 48 on Derivative and Market Risk Disclosures

1999 ◽  
Vol 13 (4) ◽  
pp. 343-363 ◽  
Author(s):  
Darren T. Roulstone
Keyword(s):  
Financial Reporting ◽  
Market Risk ◽  
Risk Measurement ◽  
Measurement Models ◽  
Market Risk Disclosures ◽  
Risk Disclosures

This study compares the disclosures about derivatives and market risk made by 25 SEC registrants in the years before (1996) and after (1997) the adoption of Financial Reporting Release No. 48 (SEC 1997) (FRR No. 48). FRR No. 48 requires firms to disclose how they account for derivatives and provide quantitative and qualitative disclosures about exposure to market risk. Market risk disclosures, encouraged but not required under FAS No. 119, improved greatly under FRR No. 48 but varied widely in detail and clarity. The majority of registrants provided quantitative and qualitative disclosures of market risk; however, only about half of these firms discussed the details and limitations of their risk measurement models and disclosures. Further, certain required or strongly recommended contextual disclosures were almost completely absent. Firms appear to prefer relatively complicated but more discreet disclosure formats to simpler but more revealing disclosure formats. Overall, while registrants greatly increased their disclosures about market risk, the disclosures leave room for improvement in future filings. These findings have significance for disclosure choice in general and the adoption of FAS No. 133 in particular.

SEC Market-Risk Disclosures: Enhancing Comparability

2001 ◽  
Vol 57 (2) ◽  
pp. 62-78 ◽  
Author(s):  
Leslie Hodder ◽  
Mary Lea McAnally
Keyword(s):  
Market Risk ◽  
Market Risk Disclosures ◽  
Risk Disclosures
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