Does good corporate disclosure matter to investors?

Good corporate disclosure is one principle of good corporate governance (GCG). Many of significant business failures over recent years were later shown to be the result of unethical behavior of management. In order to improve the growing concern, there was accountability and governance reform trigerred by Enron and WorldCom case in U.S. which in turn produced Sarbanes-Oxley Act. In the same time, there is also growing concern of GCG implementation. Implementation of GCG will create corporate sustainability and could be measured with corporate disclosure. Investors also take responsibility to push the corporation toward implementation of good corporate governance. Recent study showed that there is inconsistent finding regarding correlation between corporate sustainability and corporate profitability. Other research also stated that culture is significant in implementing GCG in a firm. Our study which employs EGARCH econometric model, shows that from four Indonesian corporation that received Annual Report Award for three consecutive years, only one corporation show that good corporate disclosure matter to investors in 2008 (with risk factor). Without using risk factor, we find evidence from the same corporation that their good corporate disclosure affected investors in 2007 and 2008; also, good corporate disclosure from one other corporation in 2008 matter to investors. However, as culture is significant in GCG implementation and yet there is still many corruption and bribery case in Indonesia, we can conclude that because of those culture, good corporate disclosure does not really matter for Indonesian investors.