A theory of risk disclosure

• 成果类型: Article
• 署名作者: Heinle, Mirko S.; Smith, Kevin C.
• 署名单位: University of Pennsylvania
• 刊物名称: REVIEW OF ACCOUNTING STUDIES
• ISSN/ISSBN: 1380-6653
• DOI: 10.1007/s11142-017-9414-2
• 发表日期: 2017
• 页码: 1459-1491
• 关键词: model uncertainty; background risk; MARKET PRICES; INFORMATION; cost; equilibrium; volatility; parameter; precision; variance

摘要

In this paper, we consider the price effects of risk disclosure. We develop a model in which investors are uncertain about the variance of a firm's cash flows and the firm releases an imperfect signal regarding this variance. In our model, uncertainty over the riskiness of a firm's cash flows leads to a variance uncertainty premium in its price. We demonstrate that risk disclosure decreases the firm's cost of capital by reducing this premium and that the market response to risk disclosure is small when the expected level of risk is high. Moreover, we find that firms acquire and disclose more risk information when their cash flow risk is greater than expected. Finally, we demonstrate that in a multi-asset setting, only risk disclosure concerning systematic risks will impact the cost of capital.