Equilibrium Voluntary Disclosures, Asset Pricing, and Information Transfers, Journal of Accounting and Economics
We study a firm's manager's voluntary disclosure decisions and those disclosure decisions' asset pricing, cost of capital, and information transfer effects in a model where investors trade multiple securities. We: develop new asset pricing formulas when the manager makes no disclosure that impose testable cross-equation restrictions on firms' market values; develop a wide array of comparative statics; obtain surprising findings about nondisclosure's effects on investors' perceptions of uncertainty about firms' future cash flows; develop simple, interpretable expressions for firms' cost of capital; and show how no disclosure by one firm generates informational externalities on other firms.
Ronald A. Dye, John S Hughes
Dye, A. Ronald, and John S Hughes. 2018. Equilibrium Voluntary Disclosures, Asset Pricing, and Information Transfers. Journal of Accounting and Economics. 66(1): 1-24.