Asymmetric Disclosure, Noise Trade, and Firm Valuation
研究了保守或激进的不对称披露如何影响风险厌恶投资者和噪音交易者交易下的公司股价，发现会计保守主义提高估值并降低预期收益，且公司可定制会计政策从噪音交易中获益。
ABSTRACT We study the impact of asymmetric (i.e., conservative or aggressive) disclosure on a firm’s price in the classic setting in which its stock is traded by risk-averse investors and noise or liquidity traders. We show that asymmetric accounting policies alter the relative risk faced by investors when they short versus long, which causes market liquidity to differ for positive versus negative demand shocks. As a result, accounting conservatism raises firms’ valuations and lowers their expected returns. We further demonstrate that the relationship between accounting informativeness and expected returns depends upon the skewness of investors’ prior beliefs. Finally, we find that a firm that can commit to an accounting policy can tailor this policy to benefit from noise trade and foster overvaluation. JEL Classifications: D72; D82; D83; G20; M41.