Note(s): Table 2 reports the results of the determinants of and the market response to disclosure quality ratings. The models are OLS. In column (1), the dependent variable is RATING which equals 4, 3, 2, and 1 when a firm’s disclosure quality rating is A, B, C, or D. In column (2), the dependent variable is CAR which is the three-day cumulative market-adjusted returns centered on the announcement date of the assessment result, and the test variable is INFO which is the residuals from the model in column (1) and measures excess disclosure quality ratings. Detailed variable definitions are in  Appendix 2. t-statistics underneath the coefficients are based on standard errors clustered at the firm. ***, **, and * denote two-tailed statistical significance at the 1%, 5%, and 10% level, respectively

Source(s): Table created by authors