信息与资本成本研究综述

国内外学者通过对信息与资本成本的研究发现:不知情的投资者需要一个风险溢价以弥补与知情的交易者进行交易所产生的逆向选择问题;知情交易使价格更灵敏,从而减少了不知情者的风险,降低了风险溢价.私人信息的广泛分布降低了必要的风险溢价,从而降低了企业的资本成本;信息精确度越高,越有利于降低资本成本;投资者对持有的资产事先信赖程度越高,越能降低企业的融资成本;提高信息披露质量可降低企业的融资成本.     

Accounting Information, Disclosure, and the Cost of Capital

In this paper we examine whether and how accounting information about a firm manifests in its cost of capital, despite the forces of diversification. We build a model that is consistent with the Capital Asset Pricing Model and explicitly allows for multiple securities whose cash flows are correlated. We demonstrate that the quality of accounting information can influence the cost of capital, both directly and indirectly. The direct effect occurs because higher quality disclosures affect the firm's assessed covariances with other firms' cash flows, which is nondiversifiable. The indirect effect occurs because higher quality disclosures affect a firm's real decisions, which likely changes the firm's ratio of the expected future cash flows to the covariance of these cash flows with the sum of all the cash flows in the market. We show that this effect can go in either direction, but also derive conditions under which an increase in information quality leads to an unambiguous decline in the cost of capital.     

智力资本信息披露对股权资本成本的影响

本文利用智力资本信息披露大样本数据,研究智力资本信息披露对股权资本成本的影响机制.研究表明:(1)总体智力资本、人力资本信息披露与股权成本负相关.(2)相对于内控质量较低的企业,内控质量高的企业披露智力资本与人力资本信息,能够更有效地降低股权成本.(3)与竞争缓和环境中的企业相比,激烈竞争环境中的企业的智力资本、人力资本信息披露对股权成本的降低作用更强.此外,总体智力资本、人力资本信息披露能够通过缓解信息不对称、减少买卖价差的中介路径发挥降低股权成本的作用.     

会计稳健性、信息不对称与股权融资成本

本文以沪深股市2006—2015年非金融行业上市公司为初始样本,结合我国的产权性质,考察了会计稳健性与股权融资成本的关系,并采用中介效应分析方法,探讨了会计稳健性对股权融资成本的可能影响路径。研究发现:第一,会计稳健性与股权融资成本负相关,信息不对称水平是会计稳健性影响股权融资成本的一个中介变量。第二,相对于国有企业,非国有企业会计稳健性对股权融资成本的降低作用更加显著。     

信息披露、收益不透明度与权益资本成本

本文以1993年至2001年间我国证券市场进行股权再融资的上市公司为样本,深入考察我国证券市场上市公司信息披露质量与公司权益资本成本的关系。结果表明,在控制其他一些影响因素之后,上市公司信息披露质量与公司权益资本成本呈显著的负相关关系;对上市公司而言,提高信息披露的质量有助于降低公司的权益资本成本。同时,本文还发现,上市公司权益资本成本不仅受到前一年信息披露质量的影响,还受到前四年信息披露质量的影响。所以,上市公司管理者为了降低公司再融资的权益资本成本,应该持之以恒地致力于保持较高的信息披露质量。     

信息披露、信息不对称和资本成本:研究综述

信息披露对资本成本的影响是会计领域的一个基本问题,也是经济金融领域的一个重要问题。不同领域的很多文献都从不同方面考察了信息披露对资本成本的影响,但是目前还没有形成一套有机的关于信息披露影响资本成本的理论。为了更好的指导未来的研究,本文将这些文献进行简要总结,旨在形成一套指导研究的理论框架。贯穿这个研究框架的理论逻辑就是信息披露通过影响信息不对称来影响资本成本。最后,本文还给出了一些未来研究建议。     

The Role of Information Precision in Determining the Cost of Equity Capital

We examine the association between the cost of equity capital and the quality of public and private information. We find an inverse relationship between the cost of capital and the precision of public information, but the effect is more than offset by a positive relationship between the cost of equity capital and the precision of private information. Public and private information precisions are positively correlated, and a model that fails to include both is vulnerable to a correlated omitted variable bias. The association between public and private information combined with their opposing effects on the cost of capital implies mangers should consider the relationship between public and private information when assessing their reporting strategy.     

Disagreement and the Cost of Capital

We assess how forms of disagreement among investors affect a firm's cost of capital. Firms experience a lower cost of capital if investors perceive that other investors are ignoring relevant disclosures (perceived errors of omission), but a higher cost of capital if investors perceive that others are responding to irrelevant disclosures (perceived errors of commission). The impact of these two sources of disagreement on the cost of capital is determined by the distribution of opinion and the nature of disclosure. For example, even though aggregated disclosures reveal less to investors, aggregated disclosures may decrease the cost of capital by eliminating disagreement associated with perceived errors of commission. These and additional results arise because the cost of capital is driven not only by investors’ uncertainty about the firm's future earnings performance, but also by investors’ uncertainty about the evolution of beliefs, which partly determines the path of prices.     

Social Concentration on Boards,Corporate Information Environment and Cost of Capital

Prior evidence on the relationship between demographic diversity in corporate boards and firm performance is mixed. Some studies have found that the relationship between board attributes and firm performance is driven by a firm's information environment. This study examines whether corporate transparency also impacts the relationship between gender and ethnic diversity of directors and firm performance. To test this hypothesis, I use a Herfindahl Index based on directors’ gender and ethnicity to measure board diversity, and an opacity index based on analyst following, analyst forecast error, bid‐ask spread, and share turnover to measure corporate transparency. I find that the cost of capital is positively associated with social concentration on corporate boards and that this premium is larger for highly opaque firms. In further analysis, I find that the interaction of corporate information environment and social concentration on boards is more important for operationally complex firms. Compared with simple firms, operationally complex firms pay a greater premium on their capital if they have a socially concentrated board and an opaque information environment.     

Information and the Cost of Capital in a Mean‐Variance Efficient Market

Before information ? arrives, market observers must be uncertain whether the stock price conditioned on ? will be higher or lower than the current price. Otherwise there is an obvious arbitrage opportunity. By assuming this minimal condition of efficient markets, it is shown under the mean‐variance CAPM that information that leaves the future value of a firm more certain, in the sense that its perceived covariance with the market is reduced towards zero, can lead to a higher expected return on that asset. A further result is that it is theoretically possible that the required return on the stock will necessarily fall after observing signal ?, or (in other circumstances) that it will necessarily rise. In general, information that allows better discrimination between firms leads some firms to have higher costs of capital and other firms to have lower costs of capital. Less obviously, better discrimination between firms can induce a higher average cost of capital across the market.     

Corporate Diversification and the Cost of Capital

We examine whether organizational form matters for a firm's cost of capital. Contrary to the conventional view, we argue that coinsurance among a firm's business units can reduce systematic risk through the avoidance of countercyclical deadweight costs. We find that diversified firms have, on average, a lower cost of capital than comparable portfolios of stand‐alone firms. In addition, diversified firms with less correlated segment cash flows have a lower cost of capital, consistent with a coinsurance effect. Holding cash flows constant, our estimates imply an average value gain of approximately 5% when moving from the highest to the lowest cash flow correlation quintile.     

Earnings Manipulation and the Cost of Capital

The widespread use of accounting information by investors and financial analysts to help value stocks creates an incentive for managers to manipulate earnings in an attempt to influence short‐term stock price performance. This paper examines the role of earnings management in affecting a firm's cost of capital. Using an agency model with multiple firms whose cash flows are correlated, we demonstrate that the extent of earnings manipulation varies across the business cycle. Depending on a firm's earnings profile, it can have stronger incentives to overstate its performance in good times or in bad times. Because of this dependence on the state of the economy, earnings manipulation can influence a firm's cost of capital despite the forces of diversification.     

Accruals Quality, Information Risk and Cost of Capital: Evidence from Australia

Abstract:  Recent theoretical work argues that information risk is a non-diversifiable risk factor that is priced in the capital market. Using accruals quality to proxy for information risk, Francis et al. (2005) provide empirical support for this argument using a sample of US firms. This paper re-examines the interplay of accruals quality, information risk and cost of capital in Australia, where a number of important institutional and regulatory differences are hypothesized to affect the relation between accruals quality and cost of capital. The results suggest that, while accruals quality impacts on the cost of capital for Australian firms, some salient differences exist. In contrast to findings for US firms, the costs of debt and equity for Australian firms are largely influenced by accruals quality arising from economic fundamentals (i.e., innate accrual quality) but not discretionary reporting choices (i.e., discretionary accrual quality). This finding is consistent with our predictions based on the Australian institutional and regulatory environment. In addition, using both the asset pricing tests in Francis et al. (2005) and Core et al. (2008) , we provide evidence consistent with accruals quality being a priced risk factor.     

Risk Management, Risk Capital, and the Cost of Capital

In a recent JACF article, Prakash Shimpi proposed a new way of calculating a firm's cost of capital that incorporated a concept of "risk capital" as well as operational capital. The premise of the Shimpi approach was that purchasing hedging instruments effectively "releases" equity that is no longer needed to ensure the firm's creditworthiness.
This article shows that Shimpi's cost of capital calculations incorporate this released equity in a misleading way, exaggerating the capital base and underestimating its true cost. It also demonstrates how conventional cost of capital approaches can be modified to integrate risk capital, thereby avoiding such distortions and accurately representing the cost of capital of a company with a policy of active risk management.     

Enterprise Risk Management and the Cost of Capital

Enterprise risk management (ERM) is a process that manages all risks in an integrated, holistic fashion by controlling and coordinating any offsetting risks across the enterprise. This research investigates whether the adoption of the ERM approach affects firms' cost of equity capital. We restrict our analysis to the U.S. insurance industry to control for unobservable differences in business models and risk exposures across industries. We simultaneously model firms' adoption of ERM and the effect of ERM on the cost of capital. We find that ERM adoption significantly reduces firm's cost of capital. Our results suggest that cost of capital benefits are one answer to the question how ERM can create value.     

资本成本与资金成本的区别探讨

资本成本是一个财务学概念,体现的是健全的公司治理机制和对资本风险报酬的尊重。而资金成本仅仅是一个会计学概念,未能反映出公司制的真谛。但理论界却将二者混为一谈。为了使我国的财务理论能够指导投资决策,就必须与国际接轨,全面接受资本成本理念。     

Segment Disclosure and Cost of Capital

We investigate whether segment disclosure influences cost of capital. Improved segment reporting is expected to decrease cost of capital by reducing estimation risk. However, in a competitive environment segment disclosure may also generate uncertainties about future prospects and lead to a larger cost of capital. Asset‐pricing tests confirm that segment disclosure is a priced risk factor. Also, segment disclosure reduces ex‐ante estimates of cost of equity capital and other measures connected to risk. These results suggest a negative relation between segment disclosure and cost of capital. Our results also show that competition reduces, but does not eliminate, the previous relationship.     

Loan Sales and the Cost of Bank Capital

This paper considers a model where banks may improve the returns on loans by monitoring borrowers. Bank regulation, together with competitive deposit and equity financing, can give banks an incentive to sell loans, but the extent of their loan selling is limited by a moral-hazard problem. A solution is given for the optimal design of the bank-loan buyer contract that alleviates this moral-hazard problem. An explanation is also given as to why some banks might buy loans and why loan sales volume has recently increased.