How does the Information Risk affect the Cost of Capital?: Evidence from Korea

다국어 초록 (Multilingual Abstract)

This paper empirically investigates the evidence documenting a positive association between residual accruals volatility as a proxy for information risk and a firm's cost of capital. Also it examines whether information risk with innate accruals quality has a greater effect on the cost of capital than information risk with discretionary accruals quality. The empirical results provide the following evidence. First, it is shown that the information risk has a positive effect on the cost of debt significantly while it has a positive effect on the cost of equity but this effect does not have significant meaning. Second, consistent with the result of information risk effect on cost of debt, it find that firms with information risk related to innate accruals quality effect on the cost of debt and equity have positively more high than firms with information risk related to discretionary accruals quality based on F-test.

참고문헌 (Reference)

1 이태우, "원/달러 환율의 변동성과 사적정보" 한국자료분석학회 14 (14): 3217-3234, 2012

2 이윤원, "발생액 질, 자본비용 및 정보위험간의 관계" 한국산업경제학회 25 (25): 3727-3742, 2012

3 박종원, "기대수익률-변동성의 조건부 관계에 대한 새로운 검증 - 음(-)의 수익률변동과 양(+)의 수익률변동이 미치는 영향과 변동성 분해 -" 한국자료분석학회 11 (11): 757-771, 2009

4 변영태, "고유변동성, 왜도와 포트폴리오 주식수익률" 한국자료분석학회 14 (14): 1003-1012, 2012

5 Dechow, P., "The Quality of Accruals and Earnings : The Role of Accrual Estimation Errors" 77 : 35-59, 2002

6 Subramanyam, K. R., "The Pricing of Discretionary Accruals" 22 : 249-281, 1996

7 Francis, J., "The Market pricing of accruals quality" 39 : 295-327, 2005

8 Kaplan, R. S., "Statistical models of bond ratings: a methodological inquiry" 231-261, 1979

9 박종해, "KOSPI200 지수선물시장에서의 변동성 전이효과에 관한 연구" 한국자료분석학회 10 (10): 3361-3372, 2008

10 Core, J., "Is Accrual Quality a Priced Risk Factor?" 46 : 2-22, 2008

11 안유화, "Is Accounting Information Quality Priced in the Korean Markets?" 한국증권학회 39 (39): 133-159, 2010

12 Hughes, J., "Information, diversification, and cost of capital" 82 : 705-729, 2007

13 Easley, D., "Information and the Cost of Capital" 59 : 1533-1583, 2004

14 Lambert, R. A., "Information Asymmetry, Information Precision, and the Cost of Capital" 16 : 1-29, 2011

15 Liu, J., "Equity valuation using multiples" 40 : 135-172, 2002

16 Chen, S., "Does the Pricing of Financial Reporting Quality Change Around Dividend Changes?" 45 : 1-40, 2007

17 Francis, J., "Costs of equity and earnings attributes" 79 : 967-1010, 2004

18 Palepu, K., "Business Analysis and Valuation" Southwestern Publishing 2000

19 Kim, D., "Accruals quality, stock returns, and macroeconomic conditions" 85 : 937-978, 2010

20 Guay, P., "Accruals quality, information risk and cost of capital : Evidence from Australia" 36 : 51-72, 2009

21 Ogneva, M., "Accrual Quality and Expected Returns: The Importance of Controlling for Cash Flow Shocks" Dissertation from University of Southern California 2008

22 Ecker, F., "A returns-based representation of earnings quality" 81 : 749-780, 2006