A relação entre o nível voluntário de transparência e o custo de capital próprio das empresas brasileiras não-financeiras

O objetivo principal desta pesquisa é verificar empiricamente a existência de relação significativa entre o nível de disclosure voluntário de informações e custo de capital próprio de empresas brasileiras não financeiras. É esperado que um maior nível de disclosure esteja relacionado a um menor custo de capital próprio pela redução do risco percebido pelos investidores. A fim de medir o nível de disclosure voluntário das empresas foi utilizado um questionário desenvolvido para este fim. O custo de capital próprio foi obtido com base em informações publicamente disponíveis das empresas. Foi encontrada uma relação negativa e significante entre as variáveis de interesse, indicando que as empresas que mais divulgam informações voluntariamente conseguem captar capital próprio a uma taxa mais barata

The effect of disclosure level on the cost of equity capital and stock market liquidity.

A movement toward requiring increased disclosure in the annual report has sparked renewed interest in the disclosure costs versus benefits debate. Several existing theories of asset pricing suggest firms with forthcoming disclosure policies should enjoy a lower cost of equity capital than their less forthcoming counterparts. However, existing empirical research in this area is sparse. I examine the impact of voluntary disclosure on stock market liquidity (as measured by bid-ask spread and depth) and the cost of equity capital. Since bid-ask spread and depth may be simultaneously determined, I examine the impact of disclosure on these attributes using both ordinary least squares and two stage least squares. I find little support for the hypothesis that enhanced voluntary disclosure is associated with greater market liquidity. However, I do present some evidence to suggest that greater voluntary disclosure is associated with a lower cost of equity capital after controlling for cross-sectional variation in systematic risk and firm size, provided that a measure other than market value is used to proxy for firm size. When market value is included in the regression to proxy for firm size, an implausibly large sample size would be required to render even an economically significant result statistically significant. One possible interpretation of this result is that market value does a better job of capturing cross-sectional variation in information risk than the disclosure measure. Alternatively, the disclosure measure may be proxying for some other unidentified risk factor that is also captured more effectively by market value. Related prior and concurrent research relies on indirect measures of the cost of equity capital and inference. In contrast, I use an accounting based valuation formula to estimate each firm's expected cost of equity capital. I find that the cost of equity capital estimates thus obtained are increasing in beta and decreasing in market value. I develop a measure of disclosure level and generate a data set consisting of the disclosure scores for 247 manufacturing firms. My disclosure index is based on the amount of voluntary information provided in the firms' 1940 annual reports. I examine five categories of voluntary information: background information, summary of historical results, key non-financial statistics, projected information and management discussion and analysis.Ph.D.AccountingFinanceSocial SciencesUniversity of Michigan, Horace H. Rackham School of Graduate Studieshttp://deepblue.lib.umich.edu/bitstream/2027.42/129589/2/9542799.pd

Challenges to the Efficient Market Hypothesis: Limits to the Applicability of Fraud-on-the-Market Theory

This article summarizes recent developments in research on market efficiency and their implications for fraud-on-the-market theory (FOMT). Part II of this article offers a brief history of, and legal rational for, FOMT and explains the relationship between the theory and the efficient market hypothesis. The recent evidence on market efficiency is summarized in Part III. Part IV presents new and previously existing evidence on the soundness of the rules of thumb suggested in Cammer v. Bloom, and investigates additional rules as well. In Part V, the article examines the appropriateness of FOMT in the specific case of Biben v. Card. Conclusions and implications of the recent empirical evidence for the proper scope of FOMT appear in Part VI