Asymmetric Disclosure, Noise Trade, and Firm Valuation

• 成果类型: Article
• 署名作者: Cianciaruso, Davide; Marinovic, Ivan; Smith, Kevin
• 署名单位: New Economic School; Stanford University
• 刊物名称: ACCOUNTING REVIEW
• ISSN/ISSBN: 0001-4826
• DOI: 10.2308/TAR-2021-0175
• 发表日期: 2023
• 页码: 215-240
• 关键词: SHORT-SELLERS; information disclosure; cost; conservatism; RISK; EFFICIENCY; skewness

摘要

We study the impact of asymmetric (i.e., conservative or aggressive) disclosure on a firm's price in the classic setting in which its stock is traded by risk-averse investors and noise or liquidity traders. We show that asymmetric accounting policies alter the relative risk faced by investors when they short versus long, which causes market liquidity to differ for positive versus negative demand shocks. As a result, accounting conservatism raises firms' valuations and lowers their expected returns. We further demonstrate that the relationship between accounting informativeness and expected returns depends upon the skewness of investors' prior beliefs. Finally, we find that a firm that can commit to an accounting policy can tailor this policy to benefit from noise trade and foster overvaluation.