Disclosure Level and the Cost of Equity Capital－研究思想.ppt

Disclosure Level and the Cost of Equity Capital -- 研究思想和动机 -- Presented by 饶菁 Why doing this research? A important issue in financial reporting, both in academic research and for policy making. The benefits of greater disclosure are not well established and are difficult to quantify. Units and Laws of Interaction Units: Disclosure level Cost of equity capital Laws of Interaction: negative 研究动机 Existing empirical research tends to support a negative association between disclosure level and cost of equity capital. However, no strong evidence. Why? Examined the variables that are expected to be positively related to cost of equity capital, not on cost of equity capital itself. Even directly estimating, the traditional CAPM provides no role for disclosure level information. E/P ratios reflect cross-sectional variation to predict their future earnings more than variation in cost of equity capital. Underlying Theory 有效证券市场 信息不对称理论 信息不对称的后果：道德风险与逆向选择 逆向选择与证券市场有效运转是相违背的，促进市场自由运转的方法： 惩罚机制 （SEC ） 自愿披露的动力：为减少逆向选择：会计人员采用充分披露的政策，以增加可为公众获取的信息量。 Research Contribution Directly measure disclosure level--Validity of DSCORE: Correlation among the components of DSCORE, number of analysts and number of WSJ articles; Cronbach’s coefficient alpha; Correlation between DSCORE and firm characteristics identified in prior research; Correlation between DSCORE and annual report disclosure scores assigned by the AIMR. Estimating cost of equity capital: Not using CAPM or E/P ratios, but replacing them with accounting based valuation formula developed by Edward, Bell , Feltham Ohlson. Some preliminary evidence for policy making: Firms with low analyst following: disclosure of forecast information and key non-financial statistics; Firms with high analyst following: disclosure of historical summary information. Research Limitations One industry, one year sample; Creating a data set of disclosure ranking, not using AIMR ranking, since the latter restrains cross-sectional variation in disclosur