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HYPOTHESIS DEVELOPMENT AND SAMPLE DESCRD7TION
THE DISCLOSURE INDEX
ASSESSING THE RELIABILITY AND VALIDITY OF DSCORE
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1990 annual report 2SLS 2SLS model AIMR analysts following ARET association between disclosure average bid-ask spread book value coefficient on DRANK computed consistent cost of equity cross-sectional variation CRSP Descriptive Statistics disclosure index disclosure level disclosure measure DMED ended May 31 equity capital estimates expected explanatory variables firm characteristics forthcoming firm fractional rank heavily followed firms heteroscedasticity hypothesis impact included influential data points information asymmetry INSIDE instrument variables investors lightly followed firms log value market maker market model market share market value monthly return observations MVAL NASDAQ sample negative association number of common number of shares NYSE sample OLS model p-value P/E ratio Panel point estimate point is awarded positive association predicted prior research Projected information proxy qualitative forecast rank-order correlation regression analysis Regression Results risk sample firms sample of firms sixty monthly return spread and depth statistically significant STDEV stock market liquidity stock price suggests t-statistic Table voluntary disclosure