A simple structural estimator of disclosure costs

• 成果类型: Article
• 署名作者: Cheynel, E.; Liu-Watts, M.
• 署名单位: University of California System; University of California San Diego; City University of New York (CUNY) System; Hunter College (CUNY)
• 刊物名称: REVIEW OF ACCOUNTING STUDIES
• ISSN/ISSBN: 1380-6653
• DOI: 10.1007/s11142-019-09511-1
• 发表日期: 2020
• 页码: 201-245
• 关键词: Information asymmetry; voluntary disclosure; AGENCY COSTS; management; ANALYST; MARKET; POLICY; association; COMPETITION; essays

摘要

This study recovers a simple firm-level measure of disclosure costs implied by the voluntary disclosure theory of Verrecchia (Journal of Accounting and Economics 12(4), 365-380, 1990). The measure does not require knowledge by the researcher of the distribution of private information and can be implemented with three simple observable inputs: the minimum, average, and frequency of disclosure. We document a positive association of disclosure costs with proxies for existing and potential competition, information asymmetry, and insider trading. Higher values of disclosure costs are associated with lower contemporaneous and future disclosures as well as lower propensity to disclose in holdout samples. Overall, we provide future researchers with an easy-to-implement procedure to structurally estimate unobserved firm-level disclosure costs.