accounting_information_disclosure_and_the_cost_of_capital翻译.pdf

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accounting_information_disclosure_and_the_cost_of_capital翻译.pdf

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DOI: 10.1111/j.1475-679X.2007.00238.x Journal of Accounting Research Vol. 45 No. 2 May 2007 Printed in U.S.A. Accounting Information, Disclosure, and the Cost of Capital RICHARD LAMBERT,? CHRISTIAN LEUZ,? AND ROBERT E. VERRECCHIA? Received 7 October 2005; accepted 18 December 2006 ABSTRACT In this paper we examine whether and how accounting information about a ?rm manifests in its cost of capital, despite the forces of diversi?cation. We build a model that is consistent with the Capital Asset Pricing Model and explicitly allows for multiple securities whose cash ?ows are correlated. We demonstrate that the quality of accounting information can in?uence the cost of capital, both directly and indirectly. The direct effect occurs because higher quality disclosures affect the ?rm’s assessed covariances with other ?rms’ cash ?ows, which is nondiversi?able. The indirect effect occurs because higher quality disclosures affect a ?rm’s real decisions, which likely changes the ?rm’s ratio of the expected future cash ?ows to the covariance of these cash ?ows with the sum of all the cash ?ows in the market. We show that this effect can go in either direction, but also derive conditions under which an increase in information quality leads to an unambiguous decline in the cost of capital. 1. Introduction The link between accounting information and the cost of capital of ?rms is one of the most fundamental issues in accounting. Standard setters ?The Wharton School, University of Pennsylvania; ?Graduate School of Business, University of Chicago. We thank Stan Baiman, John Cochrane, Gene Fama, Wayne Guay, Raf? Indjejikian, Eugene Kandel, Christian Laux, D. J. Nanda, Haresh Sapra, Cathy Schrand, Phillip Stocken, seminar participants at the Journal of Accounting Research conference, Ohio State University, and the University of Pennsylvania, and an anonymous referee for their helpful comments on this paper and previous drafts of work on this topic. 385 Copyright C , University of Chica