Risk-Factor Disclosure and Asset Prices

• 成果类型: Article
• 署名作者: Heinle, Mirko S.; Smith, Kevin C.; Verrecchia, Robert E.
• 署名单位: University of Pennsylvania
• 刊物名称: ACCOUNTING REVIEW
• ISSN/ISSBN: 0001-4826
• DOI: 10.2308/accr-51863
• 发表日期: 2018
• 页码: 191-208
• 关键词: higher-order; Expected returns; stock-market; INFORMATION; cost; skewness; uncertainty; preference; diversification; equilibrium

摘要

While researchers and practitioners alike estimate firms' exposures to systematic risk factors, the disclosure literature typically assumes that exposures are common knowledge. We develop a model where the firm's exposure to a factor is unknown, and analyze the effects of factor-exposure uncertainty on share price and the effects of disclosure about the exposure. We find that: (1) factor-exposure uncertainty introduces skewness and excess kurtosis in the cash flow distribution relative to the commonly used normal distribution; (2) risk-factor disclosure affects all moments of that distribution; and (3) the pricing of higher moments affects the price response of disclosure and the incentives to disclose. For example, factor-exposure uncertainty may actually increase price when the uncertainty implies positive skewness in the cash flow distribution. Hence, a reduction in uncertainty through disclosure may increase cost of capital. We also extend our model to multiple firms and show that factor-exposure uncertainty manifests as uncertainty about a firm's CAPM beta.