Information Asymmetry, Diversification, and Cost of Capital
在竞争性理性预期框架下，理论分析信息不对称如何影响资本成本，发现信息不对称会提高因子风险溢价从而推高资本成本，但控制贝塔后无截面效应，为实证研究提供指导。
Recently, there has been considerable interest among accounting researchers in the relation between asymmetric information and cost of capital. A number of empirical studies document associations between risk premiums and proxies for asymmetric information such as earnings quality. However, the theoretical foundation for these studies has yet to be fully established. In this study, we consider the effects of private signals that are informative of both systematic factors and idiosyncratic shocks affecting asset payoffs in a competitive, noisy, rational expectations setting. Taking a large economy limit, we show that (1) risk premiums equal products of betas and factor risk premiums, irrespective of information asymmetries; (2) holding total information constant, greater information asymmetry leads to higher factor risk premiums and, thus, higher costs of capital; and (3) controlling for betas, there is no cross-sectional effect of information asymmetries on cost of capital. These results provide guidance in interpreting the findings of existing empirical work and suggest specifications helpful for future research.