Information, Illiquidity, and Cost of Capital

• 成果类型: Article
• 署名作者: Lambert, Richard A.; Verrecchia, Robert E.
• 署名单位: University of Pennsylvania
• 刊物名称: CONTEMPORARY ACCOUNTING RESEARCH
• ISSN/ISSBN: 0823-9150
• DOI: 10.1111/1911-3846.12078
• 发表日期: 2015
• 页码: 438-+
• 关键词: DEMAND CURVES; liquidity; asymmetry; QUALITY; price; aggregation; equity; RISK; transactions; precision

摘要

This paper makes two contributions to the literature. First, we extend results on the impact of asymmetric information on cost of capital to a multi-asset environment. Second, we develop a transformation of the impact that allows equilibrium conditions to be expressed in closed form. Using these closed-form expressions, we derive a variety of comparative static results about the behavior of cost of capital. Our results are relevant to a large empirical literature that examines the relation between various information attributes and the cost of capital.