A Re‐examination of Disclosure Level and the Expected Cost of Equity Capital
用经典股利折现模型估计股权资本成本，发现年报披露水平降低资本成本，而及时披露水平反而提高资本成本，与理论相悖但符合管理者说法；投资者关系活动则无显著影响。
This paper examines the association between the cost of equity capital and levels of annual report and timely disclosure, and investor relations activities. We estimate the cost of equity capital using the classic dividend discount model. We find that the cost of equity capital decreases in the annual report disclosure level but increases in the level of timely disclosures. The latter result is contrary to theory but is consistent with managers’ claims that greater timely disclosures may increase the cost of equity capital, possibly through increased stock price volatility. We find no association between the cost of equity capital and the level of investor relations activities. We conclude that aggregating across different disclosure types results in a loss of information. Failing to include all disclosure types in regression analyses may lead to a correlated omitted variable bias and erroneous conclusions.