Assessment of the Impact of the Level of Disclosure of Mandatory Non-Financial Information in Public Annual Reports on the Investment Attractiveness of a Company

Аннотация

In this study, we assess the influence of information disclosed by issuers in annual reports in accordance with the requirements of the Central Bank of Russia on the investment attractiveness of a company.The empirical base of the research consists of annual reports of 60 Russian issuers from various industries over 10 years.
On the basis of applicable regulations of the Bank of Russia we compiled an author’s dictionary of terms (word forms).
Using the methods of taking into consideration grammatical forms we calculated occurrences of the dictionary terms in the texts of annual reports. This study represents the first time that a rating of issuers on the basis of the disclosure index of mandatory non-financial information (INDEX) in accordance with the Russian legislation was made. By means of a probit regression we proved the interrelation between the disclosure index of mandatory non-financial information (INDEX) and the issuer’s investment attractiveness. Additionally, by means of a panel regression we established the interrelation between the issuer’s investment attractiveness and the level of information disclosure which characterises the issuer, its securities and dividend policy, and its risk management policy.