Individual Investors and the Volume of Firm Disclosure

• In Event: Surprise…Financial Reporting

Abstract

Using detailed data on individual investors’ stock positions, we find that, when the vol-ume of disclosure by a certain firm is greater, the weight individuals allocate to that firm’s stock in their portfolios is lower. This result is less pronounced for more financially competent individuals and more pronounced for positions in firms with a rich information environment. When they do allocate a greater weight to the stock of a firm that discloses more, however, individuals, regardless of their financial competence, earn a lower return. Overall, this evidence is consistent with the hypothesis that a greater volume of firm dis-closure places less sophisticated investors at an information disadvantage.

Authors

• Stefan Anchev, stefan.anchev@umu.se

• Jorgen Hellstrom, Umeå School of Business and Economics

• Rickard Olsson, Umeå School of Business and Economics