Equilibrium voluntary disclosures, asset pricing, and information transfers

• 成果类型: Article
• 署名作者: Dye, Ronald A.; Hughes, John S.
• 署名单位: Northwestern University
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/j.jacceco.2017.11.003
• 发表日期: 2018
• 关键词: discretionary disclosure; MARKETS; announcements; EFFICIENCY; endowment

摘要

We study a firm's manager's voluntary disclosure decisions and those disclosure decisions' asset pricing, cost of capital, and information transfer effects in a model where investors trade multiple securities. We: develop new asset pricing formulas when the manager makes no disclosure that impose testable cross-equation restrictions on firms' market values; develop a wide array of comparative statics; obtain surprising findings about nondisclosure's effects on investors' perceptions of uncertainty about firms' future cash flows; develop simple, interpretable expressions for firms' cost of capital; and show how no disclosure by one firm generates informational externalities on other firms. (C) 2017 Elsevier B.V. All rights reserved.