Idiosyncratic volatility and voluntary disclosure asymmetry in Vietnam: The roles of ESG performance, analyst coverage, and state ownership
-
DOIhttp://dx.doi.org/10.21511/imfi.23(2).2026.13
-
Article InfoVolume 23 2026, Issue #2, pp. 166-176
- 9 Views
-
0 Downloads
This work is licensed under a
Creative Commons Attribution 4.0 International License
Type of the article: Research Article
Abstract
Voluntary disclosure theory predicts that managers delay bad-news disclosure and accelerate good-news disclosure when firm-specific uncertainty rises. However, this prediction may not hold in low-trust frontier markets. This study aims to determine whether lagged idiosyncratic volatility changes the timing of good- and bad-news voluntary disclosure in Vietnam and whether environmental, social, and governance performance, analyst coverage, and state ownership moderate that relation. The study uses hand-collected voluntary disclosures from 210 Vietnamese non-financial listed firms over 2018–2024 and estimates probit models with firm and year-month fixed effects on 5,122 firm-month observations. The results show a reversal of the developed-market pattern. A one-standard-deviation increase in lagged idiosyncratic volatility raises the probability of bad-news disclosure by about 12 percentage points and lowers the probability of good-news disclosure by more than 17 percentage points. Higher environmental, social, and governance performance does not weaken this asymmetry and instead amplifies it; analyst coverage provides no mitigating effect, and the reversal is stronger in state-owned enterprises. Robustness tests using two-way clustering, paired cluster bootstrap, random subsample splits, and placebo volatility confirm the pattern. The findings indicate that disclosure incentives under uncertainty depend on institutional trust and ownership structure, so governance mechanisms effective in mature markets cannot be assumed to operate similarly in Vietnam.
Acknowledgment(s)
This research was funded by Ho Chi Minh City University of Technology and Engineering (HCMUTE), Vietnam, under grant number T2025-143.
- Keywords
-
JEL Classification (Paper profile tab)G14, G32, G34, M14
-
References40
-
Tables11
-
Figures0
-
- Table 1. Variable definitions
- Table 2. Descriptive statistics (N = 5,122 firm-month observations, 210 firms)
- Table 3. Idiosyncratic volatility and voluntary disclosure
- Table 4. Moderating role of ESG performance and analyst coverage
- Table 5. Heterogeneity by ownership structure
- Table 6. Time variation: Pre-2021 vs Post-2021
- Table 7. Robustness checks (all with firm and year-month fixed effects)
- Table 8. Two-way clustering (firm and year-month)
- Table 9. Paired cluster bootstrap standard errors (999 replications, clustered at the firm level)
- Table 10. Random subsample split
- Table 11. Placebo test (IVOL_lag randomised within each year-month)
-
- Aharony, J., & Swary, I. (1980). Quarterly Dividend and Earnings Announcements and Stockholders’ Returns: An Empirical Analysis. The Journal of Finance, 35(1), 1-12.
- Asquith, P., & Mullins, D. W. (1986). Equity issues and offering dilution. Journal of Financial Economics, 15(1-2), 61-89.
- Bali, T. G., Cakici, N., & Whitelaw, R. F. (2011). Maxing out: Stocks as lotteries and the cross-section of expected returns. Journal of Financial Economics, 99, 427-446.
- Ball, R., & Brown, P. (1968). An Empirical Evaluation of Accounting Income Numbers. Journal of Accounting Research, 6(2), 159-178.
- Beneish, M. D. (1999). The detection of earnings manipulation. Financial Analysts Journal, 55(5), 24-36.
- Beyer, A., Cohen, D. A., Lys, T. Z., & Walther, B. R. (2010). The financial reporting environment: Review of the recent literature. Journal of Accounting and Economics, 50(2-3), 296-343.
- Bhagat, S., Bizjak, J., & Coles, J. L. (1998). The Shareholder Wealth Implications of Corporate Lawsuits. Financial Management, 27(4), 5-27.
- Cameron, A. C., Gelbach, J. B., & Miller, D. L. (2008). Bootstrap-Based Improvements for Inference with Clustered Errors. The Review of Economics and Statistics, 90(3), 414-427.
- Chen, H., Noronha, G., & Singal, V. (2004). The Price Response to S&P 500 Index Additions and Deletions: Evidence of Asymmetry and a New Explanation. The Journal of Finance, 59(4), 1901-1929.
- Dye, R. A. (1985). Disclosure of nonproprietary information. Journal of Accounting Research, 23(1), 123.
- Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56.
- Fama, E. F., Fisher, L., Jensen, M. C., & Roll, R. (1969). The Adjustment of Stock Prices to New Information. International Economic Review, 10(1), 1-21.
- FiinGroup. (2025). FiinPro X: Vietnam listed firms – financial statements and market data [Data set]. FiinGroup.
- Graham, J. R., Harvey, C. R., & Rajgopal, S. (2005). The economic implications of corporate financial reporting. Journal of Accounting and Economics, 40(1-3), 3-73.
- Hand, J. R. M., Holthausen, R. W., & Leftwich, R. W. (1992). The effect of Bond Rating Agency announcements on bond and stock prices. The Journal of Finance, 47(2), 733-752.
- He, F., Qin, S., Liu, Y., & Wu, J. (2022). CSR and idiosyncratic risk: Evidence from ESG information disclosure. Finance Research Letters, 49, 102936.
- Healy, P. M., & Palepu, K. G. (2001). Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature. Journal of Accounting and Economics, 31(1-3), 405-440.
- Hopwood, W., McKeown, J., & Mutchler, J. (1989). A Test of the Incremental Explanatory Power of Opinions Qualified for Consistency and Uncertainty. The Accounting Review, 64(1), 28-48.
- Hussain, S. M., Alaya, A., & Azizi, T. A. (2023). The impact of financial accounting disclosures on investors’ reactions towards bad news: The moderating role of investors’ sentiments. Cogent Economics & Finance, 11(2).
- Ikenberry, D., Lakonishok, J., & Vermaelen, T. (1995). Market underreaction to open market share repurchases. Journal of Financial Economics, 39(2-3), 181-208.
- Jensen, M. C., & Meckling, W. H. (1976). Theory of the firm: Managerial behavior, agency costs and ownership structure. Journal of Financial Economics, 3(4), 305-360.
- Jin, L., & Myers, S. (2006). R2 around the world: New theory and new tests. Journal of Financial Economics, 79(2), 257-292.
- Karpoff, J. M., Lee, D. S., & Martin, G. S. (2008). The cost to firms of cooking the books. Journal of Financial and Quantitative Analysis, 43(3), 581-611.
- Kim, J., Tseng, K., Wang, J., & Xi, Y. (2024). Policy uncertainty, bad news disclosure, and stock price crash risk. Journal of Empirical Finance, 78, 101512.
- Kothari, S. P., Shu, S., & Wysocki, P. D. (2009). Do managers withhold bad news? Journal of Accounting Research, 47(1), 241-276.
- Krishnan, J., & Krishnan, J. (1997). Litigation Risk and Auditor Resignations. The Accounting Review, 72(4), 539-560.
- La Porta, R., Lopez-de-Silanes, F., Shleifer, A., & Vishny, R. W. (1998). Law and Finance. Journal of Political Economy, 106(6), 1113-1155.
- Landis, J. R., & Koch, G. G. (1977). The measurement of observer agreement for categorical data. Biometrics, 33(1), 159.
- Lang, M. H., & Lundholm, R. J. (1996). Corporate Disclosure Policy and Analyst Behavior. The Accounting Review, 71(4), 467-492.
- Liu, D., Gu, K., & Hu, W. (2023). ESG performance and stock idiosyncratic volatility. Finance Research Letters, 58, 104393.
- London Stock Exchange Group. (2025). LSEG Workspace with Datastream [Data set]. London Stock Exchange Group.
- Pham, H., Thu, H. D. H., My, S. H. T., Chau, L. N. T., & Bao, T. L. H. (2025). Industry-specific effects of supplier payment strategies on financial performance: Evidence from Vietnam. Finance Research Letters, 88, 108843.
- Rajgopal, S., & Venkatachalam, M. (2011). Financial reporting quality and idiosyncratic return volatility. Journal of Accounting and Economics, 51(1-2), 1-20.
- Reber, B., Gold, A., & Gold, S. (2022). ESG disclosure and idiosyncratic risk in initial public offerings. Journal of Business Ethics, 179(3), 867-886.
- Shleifer, A., & Vishny, R. W. (1997). A survey of Corporate Governance. The Journal of Finance, 52(2), 737-783.
- Skinner, D. J. (1994). Why firms voluntarily disclose bad news. Journal of Accounting Research, 32(1), 38.
- Spence, M. (1973). Job market signaling. The Quarterly Journal of Economics, 87(3), 355.
- Stulz, R. M. (2005). The limits of financial globalization. The Journal of Finance, 60(4), 1595-1638.
- Verrecchia, R. E. (1983). Discretionary disclosure. Journal of Accounting and Economics, 5, 179-194.
- Warner, J. B., Watts, R. L., & Wruck, K. H. (1988). Stock prices and top management changes. Journal of Financial Economics, 20, 461-492.


