Existing research often assumes that firms’ financial reporting choices influence their return comovement with other firms. We examine the validity of that assumption. First, we provide initial evidence suggesting that similarity in two firms’ disclosures not only predicts but influences future return comovement between those two firms. Second, we show that this predictive ability aggregates to the market level; disclosure similarity can be used to estimate more accurate forward-looking market betas. Taken together, these two results suggest that firms’ reporting decisions can influence their firms’ betas even in the absence of changes to capital structure or operations.

Funding: The authors are grateful for financial support from the Brigham Young University Marriott School of Business and the Fisher College of Business, Ohio State University.

Supplemental Material: The data files are available at https://doi.org/10.1287/mnsc.2023.4915.