Table 3 Excess disclosure quality...

Table 3

Excess disclosure quality ratings and market-based and accounting-based information quality measures

	Market-based information quality measures			Accounting-based information quality measures
Dependent variable	ZERORET	ILLIQ	NCSKEW	CONSERV	PERSIST	DD
	(1)	(2)	(3)	(4)	(5)	(6)
INFO	−0.0022***	0.0015	−0.0482***	−2.1755**	0.0402***	−0.0025**
INFO	[−5.329]	[0.491]	[−6.145]	[−2.301]	[4.351]	[−2.265]
EXCH	0.0006	−0.0090*	−0.0083	1.4916	0.0448***	−0.0011
EXCH	[1.037]	[−1.755]	[−0.621]	[0.769]	[3.068]	[−0.543]
CSRC	−0.0007	−0.0058	0.0426***	−1.5215	−0.0341**	0.0022
CSRC	[−0.913]	[−0.943]	[2.637]	[−0.698]	[−2.004]	[0.846]
ST	0.0194***	0.2832***	0.2879***	−4.2767	−0.0233	0.0318***
ST	[11.395]	[14.845]	[13.572]	[−1.558]	[−0.922]	[6.249]
ANNLETT	0.0014**	−0.0111**	0.0567***	−0.4314	−0.0227*	0.0112***
ANNLETT	[2.314]	[−2.026]	[4.182]	[−0.266]	[−1.646]	[4.157]
OTHLETTS	−0.0002	−0.0166***	0.0249***	−0.1664	0.0157**	−0.0006
OTHLETTS	[−0.637]	[−6.972]	[4.976]	[−0.164]	[2.351]	[−0.647]
MALETTS	−0.0010*	0.0035	0.0693***	3.5449*	−0.0349*	0.0047*
MALETTS	[−1.829]	[0.618]	[3.643]	[1.739]	[−1.882]	[1.737]
QUALIFIED	0.0046***	−0.0087	0.0595**	6.3111	0.1109***	0.0121*
QUALIFIED	[2.910]	[−0.652]	[2.302]	[1.246]	[2.987]	[1.918]
AMEND	−0.0002	−0.0152***	0.0189	1.5741	0.0067	0.0006
AMEND	[−0.333]	[−3.220]	[1.403]	[0.969]	[0.487]	[0.284]
ICWEAK	−0.0017	−0.0336**	0.1106***	6.4693	−0.0549	−0.0000
ICWEAK	[−0.946]	[−2.278]	[3.723]	[1.100]	[−1.270]	[−0.005]
LATE	−0.0007	−0.0299	−0.0822*	6.0027	0.1388**	−0.0115**
LATE	[−0.249]	[−1.609]	[−1.706]	[0.777]	[2.285]	[−2.109]
SHORTFALL	−0.0001	0.0102	−0.0099	−0.9288	−0.0679***	0.0007
SHORTFALL	[−0.094]	[1.469]	[−0.546]	[−0.494]	[−3.772]	[0.292]
ESGREPORT	0.0003	−0.0078*	−0.0224**	1.9775*	0.0152	−0.0020
ESGREPORT	[0.383]	[−1.758]	[−2.217]	[1.731]	[1.103]	[−1.204]
DIVS	−0.0038***	−0.0138***	0.0141*	0.5776	0.0936***	−0.0128***
DIVS	[−10.258]	[−5.192]	[1.904]	[0.633]	[10.270]	[−8.889]
BRIEFINGS	−0.0009***	−0.0049***	0.0119**	−0.4779	0.0044	−0.0005
BRIEFINGS	[−3.284]	[−2.622]	[2.498]	[−0.906]	[0.760]	[−0.628]
AGE	0.0000***	−0.0001***	−0.0000	−0.0042	−0.0006***	0.0001***
AGE	[8.839]	[−4.926]	[−0.817]	[−0.429]	[−5.578]	[3.651]
SH	0.0008	0.0343***	0.1837***	0.7814	−0.0225	−0.0050**
SH	[1.493]	[7.807]	[21.182]	[0.673]	[−1.474]	[−2.296]
LN_AT	0.0051***	−0.1201***	−0.0107**	−1.1631	0.0446***	−0.0067***
LN_AT	[12.207]	[−43.071]	[−1.972]	[−1.530]	[5.709]	[−5.615]
LEV	−0.0016	0.2208***	−0.0359	−1.4643	−0.0692*	0.0082
LEV	[−0.883]	[16.530]	[−1.380]	[−0.381]	[−1.774]	[1.296]
ROA	−0.0325***	−0.0538	0.4774***	−31.1783**	0.4905***	0.0090
ROA	[−8.174]	[−1.402]	[5.835]	[−2.294]	[3.826]	[0.598]
LOSS	0.0019**	0.0221***	0.1014***	−3.2193	0.1020***	−0.0012
LOSS	[2.467]	[3.230]	[6.455]	[−1.576]	[5.275]	[−0.532]
ACCRUALS	−0.0003	0.0390	−0.0973*	5.9893	−0.5438***	0.0231**
ACCRUALS	[−0.102]	[1.595]	[−1.745]	[0.730]	[−7.442]	[2.265]
MB	−0.0002***	−0.0080***	0.0051***	0.0123	−0.0023**	0.0016***
MB	[−4.811]	[−12.720]	[5.836]	[0.111]	[−1.968]	[5.880]
RET	0.0031***	0.0782***	−0.1028***	0.3700	−0.0159	−0.0015
RET	[9.484]	[19.395]	[−11.994]	[0.294]	[−1.439]	[−1.136]
VOL	−0.9703***	−3.8481***	3.0409***	−98.4656	−1.1929	−0.0305
VOL	[−37.819]	[−13.133]	[6.504]	[−1.178]	[−1.594]	[−0.265]
NUMSUSP	0.0005*	−0.0007	0.0647***	−1.0611	0.0091	0.0001
NUMSUSP	[1.875]	[−0.254]	[8.784]	[−1.281]	[1.038]	[0.145]
ISSUE	−0.0035***	0.0075	0.0461**	2.9035	−0.0522***	0.0199***
ISSUE	[−4.033]	[1.026]	[2.540]	[1.347]	[−2.626]	[5.844]
RESTRUCT	0.0007	−0.0007	−0.0366	0.5110	−0.0039	−0.0038
RESTRUCT	[0.820]	[−0.085]	[−1.558]	[0.171]	[−0.170]	[−1.289]
BIGAUD	−0.0014***	0.0001	0.0026	0.9718	0.0008	−0.0003
BIGAUD	[−3.055]	[0.032]	[0.327]	[0.895]	[0.064]	[−0.156]
DUALITY	−0.0014***	0.0093**	−0.0016	0.1649	0.0055	0.0004
DUALITY	[−3.162]	[2.293]	[−0.179]	[0.114]	[0.408]	[0.187]
BDSIZE	0.0001	0.0001	−0.0008	0.1906	−0.0019	0.0002
BDSIZE	[1.195]	[0.194]	[−0.562]	[1.014]	[−1.095]	[0.725]
BDINDIE	−0.0013	0.0320	−0.0383	6.2371	0.1035	−0.0026
BDINDIE	[−0.529]	[1.517]	[−0.723]	[0.946]	[1.460]	[−0.286]
SOE	−0.0026***	−0.0124**	−0.0479***	−0.4586	0.0489***	−0.0114***
SOE	[−3.433]	[−2.279]	[−4.304]	[−0.386]	[3.190]	[−4.826]
CROSS	0.0055*	0.0605***	−0.0807***	1.7498	−0.0249	0.0045
CROSS	[1.660]	[6.026]	[−3.010]	[0.458]	[−0.635]	[1.622]
INST	−0.0057***	0.1156***	0.0258	2.6784	0.0250	0.0151***
INST	[−5.192]	[11.773]	[1.311]	[0.755]	[0.683]	[2.681]
ANA	−0.0008***	−0.0027***	0.0093***	0.1053	0.0045***	−0.0001
ANA	[−25.620]	[−13.510]	[20.303]	[1.640]	[5.966]	[−1.420]
Industry fixed effects	Yes	Yes	Yes	Yes	Yes	Yes
Year fixed effects	Yes	Yes	Yes	Yes	Yes	Yes
No. of obs	23,312	23,310	23,294	10,764	9,818	10,073
Adj. R²	40.0%	43.7%	11.6%	0.3%	14.7%	26.1%

	Market-based information quality measures			Accounting-based information quality measures
Dependent variable	ZERORET	ILLIQ	NCSKEW	CONSERV	PERSIST	DD
	(1)	(2)	(3)	(4)	(5)	(6)
INFO	−0.0022***	0.0015	−0.0482***	−2.1755**	0.0402***	−0.0025**
INFO	[−5.329]	[0.491]	[−6.145]	[−2.301]	[4.351]	[−2.265]
EXCH	0.0006	−0.0090*	−0.0083	1.4916	0.0448***	−0.0011
EXCH	[1.037]	[−1.755]	[−0.621]	[0.769]	[3.068]	[−0.543]
CSRC	−0.0007	−0.0058	0.0426***	−1.5215	−0.0341**	0.0022
CSRC	[−0.913]	[−0.943]	[2.637]	[−0.698]	[−2.004]	[0.846]
ST	0.0194***	0.2832***	0.2879***	−4.2767	−0.0233	0.0318***
ST	[11.395]	[14.845]	[13.572]	[−1.558]	[−0.922]	[6.249]
ANNLETT	0.0014**	−0.0111**	0.0567***	−0.4314	−0.0227*	0.0112***
ANNLETT	[2.314]	[−2.026]	[4.182]	[−0.266]	[−1.646]	[4.157]
OTHLETTS	−0.0002	−0.0166***	0.0249***	−0.1664	0.0157**	−0.0006
OTHLETTS	[−0.637]	[−6.972]	[4.976]	[−0.164]	[2.351]	[−0.647]
MALETTS	−0.0010*	0.0035	0.0693***	3.5449*	−0.0349*	0.0047*
MALETTS	[−1.829]	[0.618]	[3.643]	[1.739]	[−1.882]	[1.737]
QUALIFIED	0.0046***	−0.0087	0.0595**	6.3111	0.1109***	0.0121*
QUALIFIED	[2.910]	[−0.652]	[2.302]	[1.246]	[2.987]	[1.918]
AMEND	−0.0002	−0.0152***	0.0189	1.5741	0.0067	0.0006
AMEND	[−0.333]	[−3.220]	[1.403]	[0.969]	[0.487]	[0.284]
ICWEAK	−0.0017	−0.0336**	0.1106***	6.4693	−0.0549	−0.0000
ICWEAK	[−0.946]	[−2.278]	[3.723]	[1.100]	[−1.270]	[−0.005]
LATE	−0.0007	−0.0299	−0.0822*	6.0027	0.1388**	−0.0115**
LATE	[−0.249]	[−1.609]	[−1.706]	[0.777]	[2.285]	[−2.109]
SHORTFALL	−0.0001	0.0102	−0.0099	−0.9288	−0.0679***	0.0007
SHORTFALL	[−0.094]	[1.469]	[−0.546]	[−0.494]	[−3.772]	[0.292]
ESGREPORT	0.0003	−0.0078*	−0.0224**	1.9775*	0.0152	−0.0020
ESGREPORT	[0.383]	[−1.758]	[−2.217]	[1.731]	[1.103]	[−1.204]
DIVS	−0.0038***	−0.0138***	0.0141*	0.5776	0.0936***	−0.0128***
DIVS	[−10.258]	[−5.192]	[1.904]	[0.633]	[10.270]	[−8.889]
BRIEFINGS	−0.0009***	−0.0049***	0.0119**	−0.4779	0.0044	−0.0005
BRIEFINGS	[−3.284]	[−2.622]	[2.498]	[−0.906]	[0.760]	[−0.628]
AGE	0.0000***	−0.0001***	−0.0000	−0.0042	−0.0006***	0.0001***
AGE	[8.839]	[−4.926]	[−0.817]	[−0.429]	[−5.578]	[3.651]
SH	0.0008	0.0343***	0.1837***	0.7814	−0.0225	−0.0050**
SH	[1.493]	[7.807]	[21.182]	[0.673]	[−1.474]	[−2.296]
LN_AT	0.0051***	−0.1201***	−0.0107**	−1.1631	0.0446***	−0.0067***
LN_AT	[12.207]	[−43.071]	[−1.972]	[−1.530]	[5.709]	[−5.615]
LEV	−0.0016	0.2208***	−0.0359	−1.4643	−0.0692*	0.0082
LEV	[−0.883]	[16.530]	[−1.380]	[−0.381]	[−1.774]	[1.296]
ROA	−0.0325***	−0.0538	0.4774***	−31.1783**	0.4905***	0.0090
ROA	[−8.174]	[−1.402]	[5.835]	[−2.294]	[3.826]	[0.598]
LOSS	0.0019**	0.0221***	0.1014***	−3.2193	0.1020***	−0.0012
LOSS	[2.467]	[3.230]	[6.455]	[−1.576]	[5.275]	[−0.532]
ACCRUALS	−0.0003	0.0390	−0.0973*	5.9893	−0.5438***	0.0231**
ACCRUALS	[−0.102]	[1.595]	[−1.745]	[0.730]	[−7.442]	[2.265]
MB	−0.0002***	−0.0080***	0.0051***	0.0123	−0.0023**	0.0016***
MB	[−4.811]	[−12.720]	[5.836]	[0.111]	[−1.968]	[5.880]
RET	0.0031***	0.0782***	−0.1028***	0.3700	−0.0159	−0.0015
RET	[9.484]	[19.395]	[−11.994]	[0.294]	[−1.439]	[−1.136]
VOL	−0.9703***	−3.8481***	3.0409***	−98.4656	−1.1929	−0.0305
VOL	[−37.819]	[−13.133]	[6.504]	[−1.178]	[−1.594]	[−0.265]
NUMSUSP	0.0005*	−0.0007	0.0647***	−1.0611	0.0091	0.0001
NUMSUSP	[1.875]	[−0.254]	[8.784]	[−1.281]	[1.038]	[0.145]
ISSUE	−0.0035***	0.0075	0.0461**	2.9035	−0.0522***	0.0199***
ISSUE	[−4.033]	[1.026]	[2.540]	[1.347]	[−2.626]	[5.844]
RESTRUCT	0.0007	−0.0007	−0.0366	0.5110	−0.0039	−0.0038
RESTRUCT	[0.820]	[−0.085]	[−1.558]	[0.171]	[−0.170]	[−1.289]
BIGAUD	−0.0014***	0.0001	0.0026	0.9718	0.0008	−0.0003
BIGAUD	[−3.055]	[0.032]	[0.327]	[0.895]	[0.064]	[−0.156]
DUALITY	−0.0014***	0.0093**	−0.0016	0.1649	0.0055	0.0004
DUALITY	[−3.162]	[2.293]	[−0.179]	[0.114]	[0.408]	[0.187]
BDSIZE	0.0001	0.0001	−0.0008	0.1906	−0.0019	0.0002
BDSIZE	[1.195]	[0.194]	[−0.562]	[1.014]	[−1.095]	[0.725]
BDINDIE	−0.0013	0.0320	−0.0383	6.2371	0.1035	−0.0026
BDINDIE	[−0.529]	[1.517]	[−0.723]	[0.946]	[1.460]	[−0.286]
SOE	−0.0026***	−0.0124**	−0.0479***	−0.4586	0.0489***	−0.0114***
SOE	[−3.433]	[−2.279]	[−4.304]	[−0.386]	[3.190]	[−4.826]
CROSS	0.0055*	0.0605***	−0.0807***	1.7498	−0.0249	0.0045
CROSS	[1.660]	[6.026]	[−3.010]	[0.458]	[−0.635]	[1.622]
INST	−0.0057***	0.1156***	0.0258	2.6784	0.0250	0.0151***
INST	[−5.192]	[11.773]	[1.311]	[0.755]	[0.683]	[2.681]
ANA	−0.0008***	−0.0027***	0.0093***	0.1053	0.0045***	−0.0001
ANA	[−25.620]	[−13.510]	[20.303]	[1.640]	[5.966]	[−1.420]
Industry fixed effects	Yes	Yes	Yes	Yes	Yes	Yes
Year fixed effects	Yes	Yes	Yes	Yes	Yes	Yes
No. of obs	23,312	23,310	23,294	10,764	9,818	10,073
Adj. R²	40.0%	43.7%	11.6%	0.3%	14.7%	26.1%

Note(s): Table 3 reports the relation between excess disclosure quality ratings and market-based and accounting-based information quality measures during the assessment period. The models are OLS. Market-based information quality measures are ZERORET (percentage of zero-return trading days), ILLIQ (illiquidity), and NCSKEW (negative coefficient of skewness) in columns (1) through (3). Accounting-based information quality measures are CONSERV (conservatism), PERSIST (earnings persistence), and DD (accruals quality) in columns (4) through (6). 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

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