Growth Matters: Disclosure and Risk Premium

• 成果类型: Article
• 署名作者: Ellahie, Atif; Hayes, Rachel M.; Plumlee, Marlene A.
• 署名单位: Utah System of Higher Education; University of Utah
• 刊物名称: ACCOUNTING REVIEW
• ISSN/ISSBN: 0001-4826
• DOI: 10.2308/TAR-2019-0450
• 发表日期: 2021
• 页码: 259-286
• 关键词: cross-sectional determinants; Financial disclosure; realized returns; earnings quality; Expected returns; IMPLIED COST; INFORMATION; equity; FUTURE; expectations

摘要

Theoretical work generally predicts a negative association between disclosure and risk premium, where additional disclosure reduces estimation risk or information asymmetry. However, empirical studies frequently report mixed results. Recent theoretical studies suggest that the association between disclosure and risk premium is not necessarily always negative, and could be positive (or less negative). For example, Dutta and Nezlobin (2017) show that disclosure can be associated with higher risk premium when conditioned on a firm's growth rates. Similarly, Johnstone (2016) shows that higher signal quality can lead to higher risk premium. Motivated by these studies, we re-examine the association between disclosure and risk premium, conditional on growth. Using various proxies for risk premium, disclosure, and growth, we provide robust evidence that while the unconditional association between disclosure and risk premium is ambiguous, the conditional association is negative for lower growth firms but is less negative (or positive) for higher growth firms.