Contemporary Accounting Research ·Volume 33, Issue 2· June 2016

信息对不确定性和资本成本的影响

作者：David Johnstone (University of Sydney)

摘要：人们普遍认为，更好的财务报告使投资者对其未来现金流的预测更有信心，降低其所要求的风险溢价。其逻辑是更多的信息必然导致更多的确定性，因此降低投资者对公司“β”或与其他公司间协方差的主观估计。然而，这两方面分析都是具有误导性的。贝叶斯逻辑表明，最好的可用信息往往会让决策者对未来事件产生更多的不确定。虽然有些信息确实能带来更的多确定性，但传统的均值-方差资产定价模型表明，有时候关于未来现金回报的估计越精确，资金的成本越高。当新的或更好的信息导致企业未来回报预期值实际降低时，这种情况就会发生。为了正确理解信号质量对资本成本的影响，我们必须考虑信息的具体内容，而不是仅仅考虑信息的“精确性”，或者信息自身想表达出的可信服性。

The Effect of Information on Uncertainty and the Cost of Capital

David Johnstone (University of Sydney)

ABSTRACT

It is widely held that better financial reporting makes investors more confident in their predictions of future cash flows and reduces their required risk premia. The logic is that more information leads necessarily to more certainty, and hence lower subjective estimates of firm “beta” or covariance with other firms. This is misleading on both counts. Bayesian logic shows that the best available information can often leave decision makers less certain about future events. And for those cases where information indeed brings great certainty, conventional mean-variance asset-pricing models imply that more certain estimates of future cash payoffs can sometimes bring a higher cost of capital. This occurs when new or better information leads to sufficiently reduced expected firm payoffs. To properly understand the effect of signal quality on the cost of capital, it is essential to think of what that information says, rather than considering merely its “precision,” or how strongly it says what it says.

原文链接：http://onlinelibrary.wiley.com/doi/10.1111/1911-3846.12165/full

翻译：黄涛