Abstract

PurposeThe purpose of this study is to examine within a unified framework the timeliness and conservatism of accounting disclosure accommodating the transmission of news among the Scandinavian stock markets.Design/methodology/approachTo this end the authors have used an augmented ordinary least squares (OLS) approach and univariate generalized autoregressive conditional heteroskedastic and vector autoregressive (VAR) modeling. The sample covers the period from 1987 to 2020, totaling 1452 observations. The sample was collected from the datastream database.FindingsThe empirical results of this study are consistent with previous findings and provide evidence that accounting reporting is timely and conservative while news is transmitted amongst the Scandinavian stock markets.Practical implicationsThe findings could be important for investors, firms and regulators since failure of considering information that is derived from more advanced approaches could result in lower quality of annual reports of companies.Originality/valueThe authors examined the relationship between earnings yield and conditional risk using an augmented OLS model and the transmission of news among Scandinavian stock markets using a VAR model.

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