会计信息质量影响权益资本成本的实证分析

Accounting Information and the Cost of Equity

会计信息质量是影响股票交易的重要参数,它的提高能显著降低流动性风险溢价。经由股票流动性的传导,会计信息质量能够降低企业权益资本成本,进而实现企业价值最大化。本文通过构建企业会计信息质量与流动性风险的混合面板回归模型,以我国沪深A股中的上市公司为样本,对上市公司会计信息质量与流动性风险、市场风险之间的关系进行了实证分析,研究结果表明,公司可以通过加强自身建设,完善内部控制机制,提高企业会计信息质量,降低公司权益资本成本,进而实现公司价值最大化。

In this paper, we hypothesize that better accounting information quality can decrease liquidity risk. Additionally, we also made some analysis about the relationship between accounting information quality and market risk. The empirical design follow the method proposed by Pastor and Stambaugh （2003）and Jeffy Ng（2011 ）, how- ever, the parameter selection process adapts to the actual running of the Chinese stock market. Specifically, we construct the liquidity risk factor based on the illiquidity indicator proposed by Amihud （2002）. Compared with oth- er liquidity measurement, illiquidity indicator can reflect investors＇ expectation on stock liquidity and the quantified price effect reflected by it can be better adapted to China＇ s stock market. We will have a presentation of the gener- al regression specification in this section and leave the specific variable definitions to Data and Methods section. The coefficients on the interaction terms of three accounting information quality proxies with those variables ex- cept Prior return are negative which means that Return volatility, Sales growth and Book-to-market are negative as- sociated with liquidity risk, indicating that corporations who have higher Return volatility, Sales growth and Book- to-market have lower liquidity risk. There is evidence that prior returns are positively associated with liquidity risk, indicating that corporations whose stocks have recently performed well in market have a higher exposure to liquidity risk. From this paper, on the base of the actual situation of current China＇s securities market and corporate account- ing system, we can get the conclusion that accounting information quality is negatively associated with firm liquidity risk and the higher accounting information quality can reduce the firm liquidity risk. Further, as liquidity risk premium is important part of the cost of corporate equity capital, investor will require higher return for higher liquidity risk which will lead to the rise of the cost of equity capital. It means that liquidity risk is positively associated with the cost of equity capital. Whereas the improvement of accounting information quality will reduce liquidity risk of firm, it can also reduce the cost of equity capital. In the former study of accounting information quality, the results had illustrated current situation of low ac- counting information quality in our country. Though the association of accounting information quality and liquidity risk, we show the process that lower accounting information quality increase the liquidity risk and then higher the cost of equity capital. Especially for the minor enterprise in the stock market, the relative immaturity of manage- ment will increase the burden of financing. Therefore, we suggest that enterprises should not only take measures to manage finance and risk based on liquidity risk but also reduce their liquidity risk level and the cost of equity cap- ital through higher accounting information quality. Meanwhile, the decrease of enterprises＇ liquidity risk will re- duce the liquidity risk of whole market. As a result, this requires us to make a corresponding improvement on the construction of market system and the relevant laws and regulations, to make strict requirements of accounting infor- mation disclosure and to strengthen the legal and regulatory disclosure of accounting information. We should parti- cular note that lower accounting information quality is mainly coming from minor enterprise in the market. There- fore, the first thing is introducing targeted and more detailed accounting information disclosure standards and more stringent regulation based on enterprise, especially minor enterprise, to improve accounting information quality, to reduce the liquidity risk of enterprise and market and to reduce the cost of equity capital.