Volatility and public information flows: Evidence from disclosure and media coverage in the Japanese stock market

This study explores the impact of public information flows on the total volatility of stock returns and idiosyncratic volatility (IDV) using corporate disclosures and press media coverage for a broad cross-section of companies in Japan. We argue that firm-released disclosures and news reports released by the press have disparate effects on volatility. Specifically, disclosure information arrivals tend to increase total volatility, consistent with the uncertainty-generating effect, whereas media coverage reduces volatility, consistent with the notion that media reports resolve information uncertainty for firms. For IDV, both types of news tend to mitigate price synchronicity, suggesting that public information flows mainly contribute to the capitalization of firm-specific information on prices overall.