caa a22 4500 463187474 CHVBK 20180406164858.0 cr unu---uuuuu 170326e20071101xx s 000 0 eng 10.1007/s11156-007-0038-7 doi (NATIONALLICENCE)springer-10.1007/s11156-007-0038-7 Value relevance of value-at-risk disclosure [Elektronische Daten] [Chee Lim, Patricia Tan] The SEC issued FRR No. 48 in 1997 to enhance public disclosure of firms' exposures to market risk. We examine whether the quantitative value-at-risk (VAR) estimates disclosed by 81 non-financial firms during the period 1997-2002 are value-relevant using the earnings-returns relation. The empirical results indicate that high VAR is associated with weaker earnings-returns relation. Further analysis shows that VAR is positively and significantly associated with future stock return volatility. Our evidence suggests that investors perceive the earnings of firms with substantial market risk exposure to be less persistent, and adjust the future abnormal earnings for the higher risk exposure. Thus, this results in a lower expected rate of return. Springer Science+Business Media, LLC, 2007 Market risk nationallicence Value-at-risk nationallicence Value relevance nationallicence Earnings-returns relation nationallicence Stock return volatility nationallicence Lim Chee Nanyang Business School, Nanyang Technological University, S3-01c-74 Nanyang Avenue, 639798, Singapore, Singapore aut Tan Patricia Nanyang Business School, Nanyang Technological University, S3-01c-74 Nanyang Avenue, 639798, Singapore, Singapore aut Review of Quantitative Finance and Accounting Springer US; http://www.springer-ny.com 29/4(2007-11-01), 353-370 0924-865X 29:4<353 2007 29 11156 https://doi.org/10.1007/s11156-007-0038-7 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s11156-007-0038-7 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Lim Chee Nanyang Business School, Nanyang Technological University, S3-01c-74 Nanyang Avenue, 639798, Singapore, Singapore aut NATIONALLICENCE 700 1- Tan Patricia Nanyang Business School, Nanyang Technological University, S3-01c-74 Nanyang Avenue, 639798, Singapore, Singapore aut NATIONALLICENCE 773 0- Review of Quantitative Finance and Accounting Springer US; http://www.springer-ny.com 29/4(2007-11-01), 353-370 0924-865X 29:4<353 2007 29 11156 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer