Recent studies suggest that higher information risk proxied by lower disclosure quality results in higher stock returns. This paper investigates whether the risk factors of disclosure quality and its components (the risk factors of timeliness and reliability) explain the time-series variation in portfolio returns. I find that the disclosure quality risk factor and its components are significant in explaining the time-series variation of Tehran Stock Exchange portfolio returns. Furthermore, the results suggest that the risk factor of timeliness has an incremental explanatory power relative to the risk factor of reliability. Thus, the information risk arises from timeliness of financial reporting, results in higher stock returns than that of reliability of corporate reporting.
