This paper explores the idea that the speed with which equity prices reflect any benefits or costs of voluntary disclosure quality (VDQ) varies across firms. We find that for firms where we expect informational efficiency to be high, VDQ is not associated with returns beyond those available...

This paper investigates the extent to which voluntary disclosure quality (VDQ) of firms isreflected in equity prices. In environments where we expect informational efficiency to behigh, VDQ is not associated with returns beyond those available through passively investingin popular styles, and a...