Effect of Quantitative Risk Disclosures on Market Value of Listed Commercial Banks in Nigeria

Abstract

The significance of risk management and disclosure in the banking sector has garnered increasing attention in recent years, as financial institutions strive to enhance transparency and improve investor confidence. This study investigates the effect of quantitative risk disclosures—specifically credit risk, market risk, and liquidity risk on the market value of listed commercial banks in Nigeria. The study adopts a longitudinal research design, analyzing secondary data collected from the audited annual reports and accounts of 15 Deposit Money Banks (DMBs) listed on the Nigerian Exchange Group (NGX) over a ten-year period (2014–2023). Dynamic panel regression analysis is employed as the primary technique for data analysis. The findings reveal that credit risk has a positive and significant effect on market value. In contrast, market risk shows a negative but statistically insignificant effect on market value. Liquidity risk demonstrates a positive and significant relationship with market value. Based on these findings, the study recommends that banks improve the transparency of their credit risk, market risk, and liquidity risk disclosures to enhance investor confidence and increase their market value