年报风险披露与权益资本成本  

Risk Disclosures in Annual Report and Cost of Equity Capital

作　　者：王雄元[1] 高曦[2] WANG Xiongyuan, GAO Xi(Zhongnan University of Economics and Law ;Yunnan University of Finance and Economic)

机构地区：[1]中南财经政法大学会计学院,湖北武汉430013 [2]云南财经大学会计学院,云南昆明650221

出　　处：《金融研究》2018年第1期174-190,共17页Journal of Financial Research

基　　金：国家自然科学基金项目(71172221);国家自然科学基金项目(71472188)的资助

摘　　要：本文从权益资本成本视角探究了中国上市公司年报风险披露的价值相关性及信息性质。基于2007-2014年A股上市公司的研究发现:(1)年报风险披露长度及其变化值越大,公司权益资本成本及其变化值越小,说明披露的风险越多,市场给予的信任越多,因而要求的风险溢价越小,从而支持了风险披露的同质观;(2)风险披露与权益资本成本的负相关关系主要体现在信息环境差、显性风险较小的公司;(3)投资者对增加披露风险信息具有正向市场反应,且投资者异质信念降低,表明风险信息异质性较弱,而信息不对称是风险披露影响权益资本成本的不完全中介;(4)风险披露变化值越大,公司股权再融资的可能性越大、折价率越低,债券利差越小。本文首次检验了我国年报风险披露对权益资本成本的影响,得到与国外文献不一致的结论,丰富了信息披露与资本成本关系相关的文献。The paper examines the relationship between Chinese listed companies＇ annual report risk disclosures and cost of equity capital. Based on the risk disclosures data of A - share companies from 2007 to 2014, we find that： firstly, the changes in cost of equity capital positively associate with the changes in textual risk disclosures, even when we try to control the endogenous problems. The results indicate that risk disclosures are useful for decreasing the cost of equity capital, supporting the heterogeneous perspective. Secondly, the negative relation between risk disclosures and cost of equity capital tends to happen to the companies that the information environment is better and fundamentals risk is lower. Thirdly, the paper also finds that the increases in risk disclosures associate with increased market reaction and decreased heterogeneous beliefs and information asymmetry. Besides, the information asymmetry plays a role of partial mediation in this relationship of risk disclosures and cost of equity capital. Finally, the increases in risk disclosures are also associated with the increasing possibilities of conducting SEO and issuing bonds, and the decreases in discount rate of bond. This paper uses Chinese specific data to explore the relation between risk disclosure and cost of equity capital. The findings show different evidences comparing to foreign studies and complement prior research on the relationship of information disclosure and cost of equity capital.

关 键 词：风险披露 权益资本成本 信息异质性 

分 类 号：G14[文化科学] G31