Disclosure Interactions and the Cost of Equity Capital: Evidence From the Spanish Continuous Market
提出新实证模型，发现会计政策选择影响信息披露与股权资本成本的关系，基于1999-2002年西班牙上市公司数据，采用分析师预测衡量预期收益，用年报披露质量指数和应计项目衡量保守性。
Abstract: The purpose of this paper is to provide some new evidence on the relationship between disclosure and the cost of equity capital. We propose a new specification for the empirical test based on the idea that in the previous models one crucial variable was missing: accounting policy choice. We test our theoretical hypothesis using a sample of Spanish firms quoted on the Spanish continuous market from 1999 to 2002. We adopt the ex‐ante approach to measure the cost of equity capital, taking analysts predictions as a proxy for expected earnings. As an explanatory variable we use an index measuring annual report disclosure quality. This measure of disclosure is combined with a proxy for the accounting policy choice of the firm. We measure firms' conservatism using the modified Jones model of Dechow et al. (1995) to estimate discretionary accruals. Our results confirm that the relationship between disclosure and cost of capital is affected by the choice of accounting policy.