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How do the Italian blue chips actually deal with disclosure about their business model? Does their disclosure strategies affect the cost of capital through a reduction in information risk premia? Performing a cluster analysis on the contents reported in annual reports, investor relations and press releases, the study firstly identifies four different disclosure strategies. Subsequently it uses an original model to extract the information risk premia from time series of stock prices and trading volumes time. The level of information risk premia is split between market-related and firm-specific drivers in order to compute their correlation with trading volume and the different disclosure strategies identified. Overlaps from results in cluster analysis and information risk premia determinants let us conclude that broad and exhaustive financial communication allows reduction of the cost of capital.

Voluntary Disclosure Strategies and the Cost of Capital of Italian Blue Chips