Non-Fruitful Token? Market Reactions to NFT-related Disclosures

In this paper, I measure the market reaction to corporate disclosures submitted to the Securities and Exchange Commission (SEC) that contain the expression “NFT” or “Non-Fungible Token.” I follow the existing literature in differentiating between “Clear” disclosures, referring to actual activity related to NFT such as creating and selling NFTs or setting up trading platforms or other related applications, and “Vague” disclosures, referring to vague future intentions or plans to enter the NFT field. Both Clear and Vague disclosures present similar behavior in terms of their effect on the cumulative average abnormal return (CAAR), which is non-significant around the time of the disclosure but constantly and significantly deteriorates in the days following the disclosure. Companies with positive cash flow display positive CAAR in the days surrounding the disclosure, but CAAR deteriorates from day 4 onwards. By segmenting the sample according to various characteristics, I identify some differences in CAAR behavior around and after the disclosure. Overall, it appears that the market does not support corporate involvement in NFTs. Companies that are involved in, or plan to be involved in NFTs are viewed negatively, as reflected in the consistently negative CAAR over the 30 days following the publication