会计信息披露与公司资本成本【外文翻译】.doc

1、 1 外文翻译 原文 Accounting Information, Disclosure, and the Cost of Capital Material Source: http:/ Author: Richard A. Lambert Christian Leuz Robert E. Verrecchia The link between accounting information and the cost of capital of firms is one of the most fundamental issues in accounting. Standard setters

2、 frequently refer to it. For example, Arthur Levitt (1998), the former chairman of the Securities and Exchange Commission, suggests that “high quality accounting standards reduce capital costs.” Similarly, Neel Foster (2003), a former member of the Financial Accounting Standards Board (FASB) claims

3、that “More information always equates to less uncertainty, and people pay more for certainty. In the context of financial information, the end result is that better disclosure results in a lower cost of capital.” While these claims have intuitive appeal, there is surprisingly little theoretical work

4、 on the hypothesized link. In particular, it is unclear to what extent accounting information or firm disclosures reduce non-diversifiable risks in economies with multiple securities. Asset pricing models, such as the Capital Asset Pricing Model (CAPM), and portfolio theory emphasize the importance

5、of distinguishing between risks that are diversifiable and those that are not. Thus, the challenge for accounting researchers is to demonstrate whether and how firms accounting information manifests in their cost of capital, despite the forces of diversification. This paper explores both of these qu

6、estions. We define the cost of capital as the expected return on a firms stock. This definition is consistent with standard asset pricing models in finance (e.g., Fama and Miller, 1972, p. 303), as well as numerous studies in accounting that use discounted cash flow or abnormal earnings models to in

7、fer firms cost of capital (e.g., Botosan, 1997; Gebhardt et al., 2001). In our model, we explicitly allow for multiple firms whose cash flows are correlated. In contrast, most analytical models in accounting examine the role of information in single-firm settings (see Verrecchia, 2001, for a survey)

8、. While this literature yields many useful 2 insights, its applicability to cost of capital issues is limited. In single-firm settings, firm-specific variance is priced because there are no alternative securities that allow investors to diversify idiosyncratic risks. We begin with a model of a multi

9、-security economy that is consistent with the CAPM.We then recast the CAPM, which is expressed in terms of returns, into a more easily interpreted formulation that is expressed in terms of the expected values and covariance of future cash flows. We show that the ratio of the expected future cash flo

10、w to the covariance of the firms cash flow with the sum of all cash flows in the market is a key determinant of the cost of capital. We demonstrate that accounting information influences a firms cost of capital in two ways: 1) direct effects where higher quality accounting information does not affec

11、t cash flows per se, but affects the market participants assessments of the distribution of future cash flows; and 2) indirect effects where higher quality accounting information affects a firms real decisions, which influences its expected value and covariance of firm cash flows. In the first categ

12、ory, we show (not surprisingly) that higher quality information reduces the assessed variance of a firms cash flows. Analogous to the spirit of the CAPM, however, we show this effect is diversifiable in a “large economy.” We discuss what the concept of “diversification” means, and show that an econo

13、mically sensible definition requires more than simply examining what happens when the number of securities in the economy becomes large. More surprisingly, we demonstrate that an increase in the quality of a firms disclosure about its own future cash flows has a direct effect on the assessed covaria

14、nce with other firms cash flows. This result builds on and extends the work on “estimation risk” in finance.2 In this literature, information signals are typically modeled as arising from a historical time-series of return observations. In particular, Barry and Brown (1985) and Coles et al. (1995) c

15、ompare two information environments: in one environment the same amount of information (e.g., the same Historical time-series) is available for all firms in the economy, whereas in the other information environment there are more observations for one group of firms than another. They find that the b

16、etas of the “high information” securities are lower than they would be in the equal information case. They cannot unambiguously sign, however, the difference in betas for the “low information” securities in the unequal- versus equal-information environments. Moreover, these studies do not address th

17、e question of how an individual firms disclosures can influence its cost of capital 3 within an unequal information environment. Rather than restricting attention to signals that are historical observations of returns, our paper uses a more conventional information-economics approach in which inform

18、ation signals are related to realized or future cash flows. With this approach, we allow for more general changes in the information environment, and we are able to prove much stronger results. In particular, we show that higher quality accounting information and disclosures affect the assessed cova

19、riance with other firms, and this effect unambiguously moves a firms cost of capital closer to the risk-free rate. Moreover, this effect is not diversifiable because it is present for each of the firms covariance terms and hence does not disappear in “large economies.” Next, we discuss the effects o

20、f disclosure regulation on the cost of capital of firms. Using our framework, it is straightforward to show that increasing the quality of mandated disclosures also reduces the cost of capital for firms. In addition to the effect of an individual firms disclosures, there is an externality from the d

21、isclosures of other firms. We also argue that the magnitude of the effect of mandated disclosure on cost of capital will be unequal across firms. Moreover, the reduction in the assessed covariance between firms and the market will not always result in a decrease in the beta coefficient of each firm.

22、 After all, regardless of the structure of information in the economy, the average beta across firms has to be 1.0. There fore, even though firms cost of capital will decline through improved mandated disclosure, their beta coefficients need not. In the “indirect effect” category, we show that the q

23、uality of accounting information influences a firms cost of capital through its effect on a firms real decisions. First, we demonstrate that if better information reduces the amount of firm cash flows that managers appropriate for themselves, the improvements in disclosure not only increase price, b

24、ut in general also reduce firms cost of capital. Second, we allow information quality to change a firms real decisions, e.g., with respect to production or investment. In this case, information quality changes the ratio of expected cash flow to non-diversifiable covariance risk and hence influences

25、a firms cost of capital. We derive conditions under which an increase in information quality results in an unambiguous decrease in a firms cost of capital. Our paper makes several contributions. First, we extend and generalize prior work on estimation risk. We show that information quality directly

26、influences firms cost of capital and that improvements in information quality unambiguously reduce non-diversifiable risks. This finding is important as it suggests that a firms beta 4 factor is a function of its information quality and disclosures. In this sense, our study provides theoretical guid

27、ance to empirical studies that examine the link between firms disclosures and/or information quality, and firms cost of capital (e.g., Botosan, 1997; Botosan and Plumlee, 2002; Francis et al., 2004). It is important to recognize, however, that our information effects are fully captured by an appropr

28、iately specified, forward-looking beta. Thus, our model does not provide support for an additional “information risk” factor. One way to justify the inclusion of information proxies in a cost of capital model would be to note that an estimate of beta, which for instance is based on historical data a

29、lone, does generally not capture all information effects. In this case, however, it is incumbent on accounting researchers to carefully specify a “measurement error” model justifying the inclusion of information proxies in the empirical specification”. A second contribution of our paper is that it p

30、rovides a direct link between information quality and firms cost of capital, without reference to market liquidity. Prior work suggests an indirect link between disclosure and firms cost of capital based on market liquidity and adverse selection in secondary markets (e.g., Diamond and Verrecchia, 19

31、91; Baiman and Verrecchia,1996; Easley and OHara, 2004). These studies, however, analyze settings with a single firm (or settings where cash flows across firms are uncorrelated). Thus, it is unclear whether the effects demonstrated in these studies survive the forces of diversification and extend to

32、 more general multi-security settings. We emphasize, however, that we do not dispute the possible role of market liquidity for firms cost of capital, as several empirical studies suggest (e.g., Amihud and Mendelson, 1986; Chordia et al., 2001; Easley et al., 2002; Pastor and Stambaugh, 2003). Our pa

33、per focuses on an alternative (and possibly more direct) explanation as to how information quality influences non-diversifiable risks. Finally, our paper contributes to the literature by showing that information quality has indirect effects on real decisions, which in turn manifest in firms cost of

34、capital. In this sense, our study relates to work on real effects of accounting information (e.g., Kanodia et al., 2000 and 2004). These studies, however, do not analyze the effects on firms cost of capital or non-diversifiable risks. The remainder of this paper is organized as follows. Section 2 se

35、ts up the basic model in a world of homogeneous beliefs, defines terms, and derives the determinants of the cost of capital. Sections 3 and 4 analyze the direct and indirect effects of accounting information on firms cost of capital, respectively. Section 5 5 summarizes our findings and concludes th

36、e paper. 译文 会计信息披露与公司资本成本 资料来源 : http:/ 作者： Richard A. Lambert ， Christian Leuz ， Robert E. Verrecchia 会计信息和公司资本成本之间的联系是会计核算中最根本的问题。一些标准制定者经常引用它们。 例如， Arthur Levitt（ 1998），证券交易委员会前主席，提出“高质量的会计标准可以降低资金成本。”同样， Neel Foster（ 2003），美国财务会计准则的前成员 委员会（ FASB）认为“更多信息总是等于少的不确定性，人们往往可以为信息确定性付出更多代价。金融方面的信息的最终结果是

37、，在一个较低的成本获得更好的会计披露的 结果。”虽然这些说法有直观的吸引力，但是却是很少的把理论跟假设结合在一起。 特别是，现在还不清楚公司会计信息披露在多大程度上减少了公司在证券市场中遭遇的不可分散风险。资产定价模型 ,如资本资产定价模型 (CAPM),投资组合理论强调的重点是区分属于或不属于可分散风险。因此 ,会计研究人员的挑战是在多元化经营的基础上，说明会计信息是如何在公司资本成本中体现的。 这篇文章探讨了这些问题。我们像定义一个公司股票的期望回报率那样定义了一个公司的资本成本。这一定义是符合标准金融资产定价模型 ( Fama and Miller, 1972),也符合了在无数的会计研究

38、中用来推断出公司的资本成本所使用的现金流量或异常收益模型（ Botosan， 1997； Gebhardt， 2001）。在我们的模型中，我们明确的允许了多个公司的现金流量相关。与之相反的是，在会计信息检验的大多数解析模型中都只适用单公司设置（ Verrecchia， 2001）。所以在许多文献中的有用的观点，当应用于资本成本问题时却是有限的。单公司设置中之所以存在特定的价格差异，是因为那里没有替代证券去使投资者承担多元化的特定的风险。 我们从一个多安全边际经济模型着手，这个模型 是符合 CAMP模型的并且从 CAMP模型中改写的。这个模型是根据预期值和未来现金流量协方差来变现的。我们发现预期

39、未来现金流量的公司在市场上的所有现金流量之和与现金流量方差的比率是决定公司资本成本的关键因素。 我们同时发现 会计信息在两个方面影响一个公司的资本成本： 1.直接作用更高质量的会计信息不影响本身的现金流量，但会影响未来现金流的分6 布，市场参与者的评估 2.间接影响更高质量的会计信息会影响一个公司的真正的决定，从而影响其预期价值和公司的现金流量协方差。 在第一类中，我们证明 (毫不奇怪 ),更高的会计质量 披露信息可以降低企业的评估方差的现金流。这类似于 CAPM所阐述的精髓。然而 ,我们表明这种影响是分散在“大经济体系”中。当我们讨论什么是“多元化”的概念时，是指一个经济合理的定义需要的不仅

40、是简单地检查什么时候会发生经济中的证券数目变大的这种现象。 更令人惊讶的，我们证明了如果一个公司提高自己的未来现金流量的信息披露质量那么将会对其他公司现金流量的协方差有直接的影响。 这一结果的基础上，扩展了“估计风险”，信息信号通常是以从历史的时间观测的回报而产生的一系列为蓝本。尤其是， Barry and Brown（ 1985）和 Coles（ 1995）等，他们比较两个信息环境：在一个环境中相同数量的信息（例如，在相同的历史时间序列中）是所有企业在经济环境中都可用得，而在另一个信息环境中有一个企业集团观测的比另一个多。他们发现，“高信息”证券 均低于他们将在平等的信息情况。他们不能明确的

41、迹象，然而，“低信息”证券 在不等与相等的信息环境的差异。此外，这些研究并没有解决一个问题那就是：在一个不平等的信息环境中，单个企业的会计信息披露质量是如何影响一个公司的资本成本的。 比起限制对历史回报信号的观察，本文采用更加传统的信息经济学的方法 。在这种方法中，信息信号可以代表未来可实现的相关的现金流量。通过这个方法，当发生更广泛的信息环境的变化时，我们能够证明更强的结果。 我们特别地表明，当把更高质量的会计信息披露的影响与其他公司的协方差进行评估时，这一影响毫不含糊地使一个公司的资本成本更接近无风险利率情况下所呈现的资本成本。此外，这种影响并不是可分散的，因为它是该公司的出席会议的长期协

42、议条款，因此不会消失在“大经济体”中。 接下来，我们讨论了公司信息披露对公司资本成本的影响。 我们的框架，直截了当地表明，增加授权的披露质量会降低企业的资金成本。除了 对个体企业的信息披露的影响，其他公司的信息披露也存在外在性。 我们还认为，强制披露对资本成本的影响程度在整个公司内部也是不平等的。此外，对企业与市场之间的协方差估计不会总是导致每个企业的 系数的下降。 毕竟，在经济环境中的公司里，不管结构的信息的 值平均都在 1.0。因此，即使公司的资金成本将下降，如果通过完善的强制披露，其 系数也不会下降。 在“间接影响”的范畴中， 我们证明了会计信息质量的影响，它通过对一个公司的真正的决定来

43、影响一个公司的资金成本。我们认为，首先，如果有更好的信息可以降低公司的现金流并且这个信息 是适合管理者自身的，虽然改进会计信息披露质量会增加金额，但是总体上还是减少企业的资金成本。其次，7 我们允许信息质量去改变一个公司的真正的决定，例如生产和投资。在这种情况下，通过信息质量的变化去改变预期现金流量和非分散风险比率，从而影响一个公司的资本成本。所以在信息披露质量提高的条件下，公司的资本成本一定会减少。 我们的论文做出了一些贡献。首先，我们扩大和推广了前期的准备工作，估计了风险。我们的分析表明，信息的质量的高低直接影响企业的资本成本，并且信息质量的提高也将毫不含糊地减少不可分散风险。这个发现非常

44、重要，因为它表明，一个公司的 系数可以代表其信息的质量。从这个意义上讲，我们的研究提供了在理论指导下的实证研究，探讨企业间的信息披露或信息的质量和企业的资本成本之间的关联（ Botosan, 1997； Botosan and Plumlee， 2002； Francis ， 2004）。但是， 重要的是要承认我们所得出信息影响的结论是完全被一个具有前瞻性的 系数规定的。 因此，我们的模型不提供支持一种新的“信息风险 “的因素。当我们用一种方法去测试包含在资本成本模型中的信息代理，我们会注意到估计的 ，如果它单独地以历 史数据为基础，获取的所有的信息一般不会受到影响。然而，在这种情况下，会计人

45、员将通过实证规范的过程，在代理的信息中仔细地指定“测量误差”。 我们论文的第二个贡献是：文章中在研究信息披露质量与公司资本成本的关系时，没有参考市场的流动性。此前的研究表明在市场流动性和在二级市场上的逆向选择的基础上，信息披露质量和公司资本成本之间的关系并不显著（ Diamond and Verrecchia， 1991； Baiman and Verrecchia， 1996； Easley and OHara， 2004）。但是这些研究 是在单个企业（或在不同企业的现金流量是不相关）的基础上设置的。因此，目前还不清楚在这些研究中所得出的结论是否适用于多样化经济并且是否可以扩展到更广泛的多种

46、安全控制模式设置。但是还是强调，我们不反对市场的流动性对企业的资本成本可能发挥的作用，正如一些实证研究显示（ Amihud and Mendelson， 1986； Chordia ， 2001； Easley， 2002； Pastor and Stambaugh， 2003）。我们重点介绍的是替代（可能是更直接）的解释，信息披露质量时如何减少不可分散风险的。 最后， 我们的论文说明信息质量会直接影响企业的决策，从而影响企业的资本成本。从这个方面讲，我们的研究工作涉及到会计信息的真实效果（ Kanodia， 2000 ）。然而这些研究不足以分析对企业的资本或对不可分散风险成本的影响。 本文其余部分安排如下。章节 2中我们建立一个公信的模型，定义条件，得出资本成本的决定因素。章节 3和章节 4中分别分析会计信息披露质量对企业资本成本的直接影响和间接影响。章节 5中总结调查结果并得出结论。