Journal of Accounting and Economics Vol. 66 No. 1 2018
Equilibrium voluntary disclosures, asset pricing, and information transfers
Abstract
We study a firm’s manager’s voluntary disclosure decisions and those disclosure decisions’ asset pricing, cost of capital, and information transfer effects in a model where investors trade multiple securities. We: develop new asset pricing formulas when the manager makes no disclosure that impose testable cross-equation restrictions on firms’ market values; develop a wide array of comparative statics; obtain surprising findings about nondisclosure’s effects on investors’ perceptions of uncertainty about firms’ future cash flows; develop simple, interpretable expressions for firms’ cost of capital; and show how no disclosure by one firm generates informational externalities on other firms.
- DOI
- 10.1016/j.jacceco.2017.11.003
- Volume
- 66
- Issue
- 1
- Pages
- 1-24
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref