The effect of voluntary disclosure of information on risk premium based company characteristics in each of the capital market cycles

The results of experimental research on the relationship between information disclosure and risk premium have been somewhat contradictory. The purpose of this study is to investigate the effect of voluntary disclosure of information on risk premium based company characteristics in each of the periods of boom and bust of the capital market. In order to measure the variable of voluntary disclosure of information, the criteria of timeliness, bias and accuracy of midterm and annual earnings forecasts of the company have been used. To determine the time periods of capital market boom and bust, the Hudrick-Praskat filter was used and to test the hypotheses, the information of 130 companies listed on the Tehran Stock Exchange, between 2010 and 2018, and multiple regression model has been used. The results show that voluntary disclosure of information, for the measurements of timeliness and bias of midterm and annual earnings forecasts, positively and significantly and for the measurement of accuracy of midterm earnings forecast, negatively and significantly on risk premium based company characteristics are effective. Also, research results shows that the boom and bust of the capital market is a factor influencing the relationship between the timeliness measurement of midterm earnings forecast and accuracy of annual earnings forecast and risk premium based company characteristics. Also, the relationship expressed for different criteria for measuring voluntary disclosure of information is different.