کیفیت اطلاعات حسابداری و ریسک اصولی
Abstract
1- Introduction
2- Theoretical background
3- Data
4- Results
5- Concluding remarks
References
Abstract
Whether and how accounting information quality affects the cost of capital has been a matter of much debate. We contribute to this debate by linking accounting information quality to systematic risk, inspired by recent theoretical discussions. Using the universe of firms jointly listed in the CRSP and Compustat databases from 1962 to 2012, we find that accounting information quality is significantly and negatively related to systematic risk. This relation is robust to alternative proxies for the two constructs, including a model-free measure of risk. Further analysis indicates that improving accounting information quality causes systematic risk to decrease. These findings have important implications for disclosure decisions, portfolio management, and asset pricing.
Introduction
Whether accounting information quality affects the cost of capital has been the central theme of a large and growing literature in accounting, economics, and finance. This literature provides considerable empirical evidence of a negative relation between the two constructs (Armstrong et al. 2013). However, the mechanism behind the relation has been a subject of intense debate (Beyer et al. 2010; Tang 2011). We contribute to the debate by investigating empirically whether and how accounting information quality is related to existing systematic risk factors (i.e., firm betas). In neoclassical theory, a firm’s cost of capital depends exclusively on exposure to systematic risk, i.e., systematic risk factors and risk premiums on these factors (Hughes et al. 2007; Armstrong et al. 2013). Thus, accounting information quality can affect the cost of capital in only three possible ways: First, accounting information quality constitutes an additional systematic risk factor that is distinct from other known such factors; second, accounting information quality itself is not a systematic risk factor but affects risk premiums on known such factors; and third, accounting information quality is somehow related to known systematic risk factors.