Information Complementarities and the Dynamics of Transparency Shock Spillovers

• 成果类型: Article
• 署名作者: Banerjee, Shantanu; Dasgupta, Sudipto; Shi, Rui; Yan, Jiali
• 署名单位: Lancaster University; Chinese University of Hong Kong; University of Exeter; University of Liverpool
• 刊物名称: JOURNAL OF ACCOUNTING RESEARCH
• ISSN/ISSBN: 0021-8456
• DOI: 10.1111/1475-679X.12510
• 发表日期: 2024
• 页码: 55-99
• 关键词: cost; disclosure; FIRMS; COMPETITION; liquidity; contagion; liability; WORLD

摘要

We show that information complementarities play an important role in the spillover of transparency shocks. We exploit the revelation of financial misconduct by S&P 500 firms, and in a Stacked Difference-in-Differences design, find that the implied cost of capital increases for close industry peers of the fraudulent firms relative to distant industry peers. The spillover effect is particularly strong when the close peers and the fraudulent firm share common analyst coverage and common institutional ownership, which have been shown to be powerful proxies for fundamental linkages and information complementarities. We provide evidence that increase in the cost of capital of peer firms is due, at least in part, to beta shocks. Disclosure by close peers-especially those with co-coverage and co-ownership links-also increases following fraud revelation. Although disclosure remains high in the following years, the cost of equity starts to decrease.