Direct and Mediated Associations among Earnings Quality, Information Asymmetry, and the Cost of Equity

被引：201

作者：

Bhattacharya, Nilabhra ^{[1
]}

Ecker, Frank ^{[2
]}

Olsson, Per M. ^{[2
]}

Schipper, Katherine ^{[2
]}

机构：

[1] So Methodist Univ, Dallas, TX 75275 USA

[2] Duke Univ, Durham, NC 27706 USA

来源：

ACCOUNTING REVIEW | 2012年 / 87卷 / 02期

关键词：

path analysis; earnings quality; information asymmetry; MARKET-BASED EVALUATION; ACCRUALS QUALITY; ACCOUNTING INFORMATION; EXECUTION COSTS; RISK; DISCLOSURE; RETURNS; PRICES; DETERMINANTS; LIQUIDITY;

D O I：

10.2308/accr-10200

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：449 / 482

页数：34

共 78 条

[1] Earnings quality, insider trading, and cost of capital [J].