Idiosyncratic Information, Moral Hazard, and the Cost of Capital
研究了特质会计信息对企业资本成本的影响，发现道德风险扭曲特质风险分担但不影响系统风险分担，企业层面信息改善降低资本成本，而经济层面信息改善对资本成本净效应不确定。
ABSTRACT This paper examines the effects of idiosyncratic accounting information on a firm's cost of capital. By embedding a moral hazard problem into a multifirm asset‐pricing model, I show that moral hazard distorts the sharing of idiosyncratic risk but does not affect the sharing of systematic risk in the economy. A firm‐level improvement in idiosyncratic information reduces the firm's cost of capital even though it does not affect the implied cost of capital inferred from publicly traded shares. Moreover, an economy‐level improvement in idiosyncratic information reduces the risk premium for idiosyncratic risk but increases the risk premium for systematic risk, resulting in an ambiguous net effect on the firm's cost of capital. These results provide alternative explanations for the mixed empirical evidence on the relation between information quality and the cost of capital.