Do Risk Disclosure and Firm Value Drive Indonesian Bank Stock Returns?
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Abstract
Investors are increasingly concerned about risk transparency and cybersecurity disclosure as the banking sector becomes more digitalized. The purpose of this study is to look at how firm value, required risk disclosure, and cyber risk disclosure affect stock returns in the Indonesian banking sector between 2022 and 2024. The study employs a quantitative method, analyzing panel data from the annual reports of all 47 Indonesian banks listed on the Indonesia Stock Exchange between 2022 and 2024 using panel regression and the Common Effect Model (CEM). Tobin's Q is used to measure firm value, while disclosure indices are used to measure mandatory and cyber risk disclosures. Content analysis of the annual reports from 47 Indonesian banks shows that firm value has a negative and significant effect on stock prices, while mandatory risk disclosure has a consistently significant effect on stock returns. Cyber risk disclosure has a favorable and large impact on stock performance. However, if control variables are included, they render the effect statistically insignificant. The findings confirm signaling theory, demonstrating that cyber risk disclosure delivers important information that influences stock returns for investors. In reality, these findings suggest that investors and bank executives should pay closer attention to the disclosure of cyber risks in the digital banking landscape.
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