We examine whether the quarterly filing COVID-19 disclosures reduce uncertainty for investors and analysts. We find a negative relationship between COVID-19 disclosure and return volatility, suggesting COVID-19 disclosure reduces investor uncertainty. This reduction effect concentrates mainly during the short window following 10-Q releases and phases out over time. We then detect that industry-wide COVID-19 disclosure dispersion is positively associated with return volatility, suggesting high variation of industry-wide COVID-19 disclosures reduces information comparability across firms, resulting in increased investor uncertainty. Moreover, we find that COVID-19 disclosures are positively associated with analysts’ downward earnings forecast revisions and negatively associated with analyst forecast dispersion after 10-Q releases, suggesting the disclosures reduce information risk even for sophisticated market participants. Further analyses show that COVID-19 disclosures are negatively associated with future financial and operational performances (i.e., sales, operating cash flow, operating income and ROA). Lastly, we find that the low readability of COVID-19 disclosure attenuates the negative relation between COVID-19 disclosure and market volatility. Collectively, our findings suggest that 10-Q COVID-19 disclosures contain value-relevant information that temporarily assists market participants in evaluating the changes in firms’ values in the time of a crisis.

中文翻译：

---

COVID-19 披露和市场不确定性：来自 10-Q 文件的证据

我们检查季度提交的 COVID-19 披露是否会减少投资者和分析师的不确定性。我们发现 COVID-19 披露与回报波动之间存在负相关关系，这表明 COVID-19 披露降低了投资者的不确定性。这种减少效应主要集中在 10-Q 发布后的短窗口期间，并随着时间的推移逐渐消失。然后，我们发现全行业 COVID-19 披露分散与回报波动呈正相关，这表明全行业 COVID-19 披露的高度差异降低了公司之间的信息可比性，导致投资者不确定性增加。此外，我们发现 COVID-19 披露与分析师下调盈利预测修正呈正相关，与 10-Q 发布后分析师预测离散度呈负相关，建议即使对于成熟的市场参与者，披露也会降低信息风险。进一步的分析表明，COVID-19 的披露与未来的财务和运营业绩（即销售额、运营现金流、运营收入和 ROA）呈负相关。最后，我们发现 COVID-19 披露的低可读性减弱了 COVID-19 披露与市场波动之间的负相关关系。总的来说，我们的研究结果表明，10-Q COVID-19 披露包含与价值相关的信息，这些信息可以暂时帮助市场参与者评估危机期间公司价值的变化。营业现金流量、营业收入和 ROA）。最后，我们发现 COVID-19 披露的低可读性减弱了 COVID-19 披露与市场波动之间的负相关关系。总的来说，我们的研究结果表明，10-Q COVID-19 披露包含与价值相关的信息，这些信息可以暂时帮助市场参与者评估危机期间公司价值的变化。营业现金流量、营业收入和 ROA）。最后，我们发现 COVID-19 披露的低可读性减弱了 COVID-19 披露与市场波动之间的负相关关系。总的来说，我们的研究结果表明，10-Q COVID-19 披露包含与价值相关的信息，这些信息可以暂时帮助市场参与者评估危机期间公司价值的变化。