Corporate disclosures play a crucial role in enhancing investor confidence and improving market returns. However, challenges such as inadequate capital disclosures, regulatory constraints on financial and non-financial assets, and limitations in liability disclosures continue to impede the performance of listed companies. These factors contribute to suboptimal market returns, as evidenced by a 1.6% decline in GDP in 2022 and a similar reduction in market returns in 2019. The study sought to examine the effect of financial asset disclosures as a component of corporate disclosures on market returns of manufacturing firms listed on the Nairobi Securities Exchange (NSE), Kenya, and the moderating role of firm size. Grounded in the Efficient Market Theory (EMT), which suggests that asset prices reflect all available information, the study explores how transparent financial reporting impacts firm valuation and investment decisions. A review of existing literature highlights the significance of financial assets in determining market performance, with variations influenced by firm size, investment strategies, and market conditions. The study employs a descriptive research design, using secondary data from financial reports published. Findings from this research will contribute to a deeper understanding of how financial asset disclosures influence market returns and inform policies aimed at strengthening corporate transparency and regulatory frameworks. Findings indicate that enhanced financial asset disclosures positively impact market returns by improving investor confidence and decision-making. It is recommended that firms adopt standardized disclosure frameworks to ensure transparency and regulatory compliance, thereby fostering sustainable market growth.