The Research Of Effect On The Cost Of Capital By Disclosure Of Listed Firms

In capital market, information leads capital to listed firms, which makes the financing function come true. The cost of capital is expected yield investors demand. It not only reflects listed firms'expense to get capital, consequently affects project selection, capital structure decision and company value assessment, but also represent financing efficiency. Can disclosure by listed firms affect the cost of capital? Financial experts long for that information may become another risk to drive the cost of capital. Accounting experts hope to affirm accounting information's economic effects on securities market through exploring the relation between financial reports and the cost of capital."Public information can reduce investors'estimation risk so as to reduce the cost of capital", which is the basic idea of Estimation Risk Theory. But the narrow notion that restricts disclosure to public information limits theory progress. Taking it as a chance, the thesis establishes Market Mechanism to explain the effect by disclosure on the cost of capital. In virtue of financial economics and information economics, the thesis analyses the effects by all sorts of factors during disclosure that affects information availability on the cost of capital, which is applied to theoretical explanations and empirical tests as to special information phenomena in securities market.Above all, establishes Market Mechanism to explain the effect by disclosure on the cost of capital. Market Mechanism changes traditional Estimation Risk Theory's notion of disclosure from public information to all factors that affects information availability. Through two general equilibrium models, proves that historic information quality and private information distribution can both reduce the cost of capital, which validates Market Mechanism. Additionally, determines estimation risk under Market Mechanism, namely Market Information Precision, which embodies the above many factors and their integration mode, namely Market Information Structure. Thus Market Mechanism also emphasizes that the effect of disclosure on the cost of capital relies on specific Market Information Structure.Next, studies the effects of public and private information on the cost of capital from two points of views. Firstly, studies effects of mutually independent public and private information on the cost of capital separately. When two sorts of information's errors are independent, establishes multi-information two-person rational expectation equilibrium model, proves public information, private information and market noise can all reduce the cost of capital, moreover reveals two modes, by which private information affects the cost of capital, further more, explains the phenomenon that the cost of capital of USA's small listed firms rose after Regulation of Fair Disclosure. Secondly, studies combine effects of mutually correlated public and private information on the cost of capital. When two errors are correlated, establishes correlated two-information two-person general equilibrium model, finds that public information with high quality may lead rise of the cost of capital, and explains from the views of mathematics and economics, discloses the economical reason, namely the mutual effect of public and private information, furthermore, analyses the effect's two manifestations, namely Offset Effect and Supplement Effect, so as to discloses public information's negative effects on efficiency and fair.Next, studies listed firms'disclosure and its effects on the cost of capital under mandatory disclosure. Firstly, brings forward Disclosure Trend Hypothesis, which divides listed firms into three kinds of firms with strong, medium and weak trends. Secondly, proves that when voluntary information quality is low, firms with strong trends may not disclose, and explains why Chinese listed firms'will to disclose earnings forecasts is not enough. Thirdly, proves that effect of mandatory disclosure on the cost of capital of firms with weak trends relies on the reaction of negative disclosure on mandatory disclosure, and analyses the economics meaning of Chinese Enterprise Accounting Principle's attitudes to Fair Value from worship to avoidance.Finally, taking accounting earning quality and dispersion of earnings forecasts by analysts as public information and private information respectively, empirically tests the effect by Chinese listed firms'disclosure on the cost of capital. The results show that the higher accounting earning quality is, the lower the cost of capital is, and that the higher coefficient of variation is, the lower the cost of capital is, which mean that both public information and private information have pricing function in Chinese securities market. Market Mechanism enlarges traditional Estimation Risk Theory's view, and emphasizes that disclosure's effect on the cost of capital relies on integration mode of many factors. Study on the relation between two main disclosure channels and the cost of capital will do good to understanding the effect of information on the cost of capital. Analysis of mandatory disclosure's economic effects is in favor of scientific supervision. Tests on pricing function of Chinese listed firms'disclosure, not only modify research methods, but also put forward new contents. These studies improve traditional Estimation Risk Theory, and they have important policy meaning to efficiency and fair of securities market.