_国际区别在权益资本费用：法律机关是否和证券章程事关？.pdf

International Differences in the Cost of Equity Capital: * Do Legal Institutions and Securities Regulation Matter? Luzi Hail Institute for Accounting and Control University of Zurich and Christian Leuz The Wharton School University of Pennsylvania November 2003 Abstract This paper examines international differences in firms’ cost of equity capital across 40 countries. We analyze whether the effectiveness of a country’s legal institutions and securities regulation is systematically related to cross-country differences in the cost of equity capital. We employ four different models using analyst forecasts to estimate firms’ implied cost of capital. We find that countries with extensive securities regulation and strong enforcement mechanisms exhibit lower levels of cost of capital than countries with weak legal institutions, even after controlling for various risk and country factors. The effects are strongest for institutions providing information to investors and enabling them to privately enforce their contracts. We also show that, consistent with theory, these effects become substantially smaller or insignificant as capital markets become more integrated. JEL classification: G14, G15, G38, G30, K22, M41 Key Words: International finance, Cost of equity, Disclosure, Legal system, Law and finance * We thank Yakov Amihud, Ray