Disclosure impact on factor exposure, information asymmetry, risk, and value: A study of Bitcoin

Using new firm disclosures regarding Bitcoin, we show that firm factor exposure to Bitcoin increases following disclosure in SEC filings. We find that the firm’s idiosyncratic risk and information asymmetry decrease following disclosure, but the impact on the firm’s value is not uniform. Firm disclosures related to risk decrease firm value, whereas firm disclosures related to higher future cash flows increase firm value. Our unique setting allows us to overcome a common challenge in disclosure research by examining the covariance structure of a firm’s stock returns.