Lyle, Matt, Edward Riedl, & Federico Siano (2023). Changes in risk factor disclosures and the variance risk premium

“This paper examines how changes in risk disclosures affect uncertainty about risk. We measure changes in risk disclosures using the addition and removal of individual risk factors to firms’ 10-K filings, identified via textual analysis of the risk factors section. Our market outcome is the variance risk premium (VRP), which captures the market’s pricing of uncertainty about firm risk.” (The Accounting Review). Read the publication, Changes in risk factor disclosures and the variance risk premium in The Accounting Review, here.

This publication was written by Matt Lyle, Edward Riedl, & Federico Siano.