Minimum corporate website disclosure levels and information asymmetry: Evidence from Johannesburg Stock Exchange small-cap companies

Figures & data

Table 1. Defined population.

Detail	Total	Main	AltX
Companies listed on the JSE and not suspended	330	291	39
Not listed more than 18 months	−23	−14	−9
Less than 40 trading days in the preceding six-month cycle	−32	−23	−9
Population prior to the selection of the smallest 30%	275	254	21
Largest 70%	−192	−191	−1
Defined population	83	63	20

Table 2. Control variables – description and expected associations with information asymmetry.

Variable	Description	Expected association
Share price ($\text{β}2)$	Average of daily share prices for the six-month period - 1 September 2017 to 28 February 2018	−
Leverage$\left(\text{β}3\right)$	Ratio between debt and assets	+
Director shareholding $\left(\text{β}4\right)$	The percentage shareholding of directors	+
Block ownership ($\text{β}5)$	Dummy variable representing one if one shareholder has more than 20% of issued shares	+

Figure 1. Distribution of disclosure scores of companies.

Table 3. Descriptive statistics.

Panel A: Continuous variables
	Mean	Min	Quartile			Max	Std dev
			Q1	Q2	Q3
Bid-ask spread	0.108	0.013	0.035	0.053	0.105	1.33	0.174
Disclosure score	17.722	6.000	15.000	18.000	21.000	27.000	4.579
Share price (ZAR)	4.331	0.04	0.647	1.509	3.885	58.219	8.554
Leverage	0.487	0.003	0.270	0.426	0.657	2.189	0.320
Director shareholding	0.248	0.000	0.055	0.179	0.398	0.937	0.218
Market capitalisation (ZAR million)	543.46	6.59	215.51	453.17	840.13	2174.81	440.85
Panel B: Categorical variables
	1	0
Block ownership	52	27
JSE listing – Main board	62	17
JSE listing - AltX	17	62

Table 4. Correlations.

	DS	SP	Lev	Dir.S	Block	MC
Disclosure score (DS)	1.00
Share price (SP)	0.12	1.00
Leverage (Lev)	0.04	−0.24**	1.00
Director shareholding (Dir.S)	−0.21*	−0.05	−0.02	1.00
Block shareholding (Block)	−0.17	−0.00	−0.03	0.28***	1.00
Market capitalisation (MC)	0.31***	0.59***	−0.34***	−0.03	0.02	1.00

*** significant at the 1% level; ** = significant at the 5% level and * = significant at the 10% level

Natural log transformations were used for SP (Share price) and MC (Market capitalisation)

Table 5. Regression results (dependent variable = bid-ask spread).

	OLS regression	Hierarchical regression (1)	Hierarchical regression (2)	Hierarchical regression (3)	Hierarchical regression (4)
${\text{β}}_0$	−1.445***	−2.115***	−1.445***	4.929***	4.978***
Disclosure score ($\text{β}1)$	−0.039** ¶		−0.039** ¶	−0.016	−0.016
Share price ($\text{β}2)$	−0.213***	−0.229***	−0.213***	−0.065	−0.066
Leverage ($\text{β}3)$	0.671**	0.633*	0.671**	0.327	0.324
Director shareholding ($\text{β}4)$	−0.098	0.040	−0.098	−0.029	−0.033
Block ownership ($\text{β}5)$	0.337*	0.384**	0.337*	0.378**	0.378**
Market capitalisation ($\text{β}6)$				−0.869***	−0.874***
Moderator variable ($\text{β}7)$					−0.007
R²	29.22%	25.16%	29.22%	40.87%	40.88%
F-value	6.028***	6.218***	6.028***	8.294***	7.012***

*** = significant at the 1% level; ** = significant at the 5% level and * = significant at the 10% level

¶ 95% Confidence interval: −0.078 (lower limit) to −0.001 (upper limit)

Natural log transformations were used for SP (Share price), MC (Market capitalisation) and the dependent variable, bid-ask

Table

	Attribute	Description: to attain a score of 100%	Average
1	Business description	Brief description of the company on the home page	92,77%
2	Country of incorporation	Mentioned in which country the company is incorporated	90,36%
3	Main country of operation	Mentioned in which country the company operates from	92,77%
4	Constitutional documents	Listing of documents: for example MOI	19,28%
5	Admission document	Most recent admission document or pre-listing statement	18,07%
6	Sponsor	Listing of the company’s sponsor	28,92%
7	Auditor	Listing of the company’s auditor	27,71%
8	Directors – names	Listing of the names of the company’s directors	84,34%
9	Directors – photos	Displaying photos of the directors	66,27%
10	Directors – age	Listing of the directors’ ages	22,89%
11	Directors – qualifications	Listing of the directors’ qualifications	79,52%
12	Directors – experience	Listing of any of the directors’ experience	78,31%
13	Directors – responsibilities	Listing their responsibilities on board committees	84,34%
14	Directors – type	Whether they are executive, non-executive, independent	78,31%
15	Board – list	Listing of board committees	44,58%
16	Board – responsibilities	Listing of responsibilities of directors on committees	36,14%
17	Shareholder rights – SA	Listing shareholder rights general to South Africa (SA)	1,20%
18	Transfer of securities	Details of any restrictions on the transfer of securities	3,61%
19	Code	Details of governance code or application of King III / IV	81,93%
20	Compliance to legislation	Details that the company complies with companies Act	77,11%
21	Annual reports – history	Listing at least the last three years of annual reports	90,36%
22	Annual report – current	Listing the current (latest) annual report	98,80%
23	Interim reports – available	Listing of any interim reports	91,57%
24	Interim reports – current	Listing the current (latest) interim report	74,70%
25	Number of shares	Listing of total number of shares issued	8,43%
26	Shareholders info – list	Only identities and percentage of significant shareholders	9,64%
27	Shareholders info – largest	Top 5 or 10 shareholders above certain percentage	9,64%
28	Shareholders info – timely	Notice that information updated within past six months	4,82%
29	Notifications by company	Listing of notifications during past 12 months	91,57%
30	Circulars to shareholders	Documents to shareholders during the past 12 months	63,86%
31	Social media	Exposure on social media (Facebook, Twitter, etc.)	32,53%
32	Email contact – IR	E-mail contact of investor relations (IR) officer	31,33%
33	PAIA	Access to PAIA policy and form	34,94%
34	Results presentation	Results available in PDF	50,60%
35	Results presentation	Web or podcast of results presentation	15,66%