The Effect of Disclosures by Management, Analysts, and Business Press on Cost of Capital, Return Volatility, and Analyst Forecasts: A Study Using Content Analysis

• 成果类型: Article
• 署名作者: Kothari, S. P.; Li, Xu; Short, James E.
• 署名单位: Barclays; University of Texas System; University of Texas Dallas; University of California System; University of California San Diego
• 刊物名称: ACCOUNTING REVIEW
• ISSN/ISSBN: 0001-4826
• DOI: 10.2308/accr.2009.84.5.1639
• 发表日期: 2009
• 页码: 1639-1670
• 关键词: Investment banking; EARNINGS FORECASTS; CORPORATE DISCLOSURE; INFORMATION; RISK; MARKET; liquidity; determinants; prices; LEVEL

摘要

We document systematic evidence of risk effects of disclosures culled from a virtually exhaustive set of sources from the print medium. We content analyze more than 100,000 disclosure reports by management, analysts, and news reporters (i.e., business press) in constructing firm-specific disclosure measures that are quantitative and amenable to replication. We expect credibility and timeliness differences in the disclosures by source, which would translate into differential cost of capital effects. We find that when content analysis indicates favorable disclosures, the firm's risk, as proxied by the cost of capital, stock return volatility, and analyst forecast dispersion, declines significantly. In contrast, unfavorable disclosures are accompanied by significant increases in risk measures. Analysis of disclosures by source-corporations, analysts, and the business press-reveals that negative disclosures from business press sources result in increased cost of capital and return volatility, and favorable reports from business press reduce the cost of capital and return volatility.