Direct and Mediated Associations among Earnings Quality, Information Asymmetry, and the Cost of Equity
Direct and Mediated Associations among Earnings Quality, Information Asymmetry, and the Cost of Equity
复制标题
DOI：
10.2308/accr-10200
复制
发表时间：
2012-03
期刊：
影响因子：
--
通讯作者：
Nilabhra Bhattacharya;Frank Ecker;Per Olsson;K. Schipper
中科院分区：
文献类型：
--
作者：
Nilabhra Bhattacharya;Frank Ecker;Per Olsson;K. Schipper
摘要：我们运用路径分析方法，研究了三种盈余质量衡量指标与股权成本之间的直接和间接联系。我们的研究是由一些分析模型所推动的，这些模型既明确了直接联系，也明确了由信息不对称所介导的间接联系，但并没有表明在实证中哪种联系更为重要。我们将信息不对称衡量为买卖价差的逆向选择成分以及知情交易概率（PIN）。对于1993 - 2005年期间大量的价值线公司样本，我们发现了从盈余质量到股权成本的直接路径以及由信息不对称所介导的间接路径在统计上可靠的证据，且证据的权重表明直接路径更为重要。
ABSTRACT: Using path analysis, we investigate the direct and indirect links between three measures of earnings quality and the cost of equity. Our investigation is motivated by analytical models that specify both a direct link and an indirect link that is mediated by information asymmetry, but do not suggest which link would be more important empirically. We measure information asymmetry as both the adverse selection component of the bid-ask spread and the probability of informed trading (PIN). For a large sample of Value Line firms during 1993–2005, we find statistically reliable evidence of both a direct path from earnings quality to the cost of equity, and an indirect path that is mediated by information asymmetry, with the weight of the evidence favoring the direct path as the more important.