信息披露質量與債務資本成本

1、本科畢業(yè)論文外文翻譯稿信息披露質量與債務資本成本摘要：本文研究了在財務分析師針對信息披露質量的評價中獲得較高評價的公司，能夠獲得較低的貸款利率。目前的研究中存在一個爭議，是否及時、詳盡的信息披露有利于降低債權人對于借款人違約的風險預估，從而降低借款公司的債務成本。本文的研究關注的正是這一爭議。本文結論同樣證實市場上公司股票價格波動所反映的不確定性程度也將決定信息披露質量對借款人的影響程度。債務融資是公司拓寬貿易渠道、發(fā)展市場的重要資金來源，債務融資的經濟后果也是公司進行信息披露的動機之一。關鍵詞：信息披露質量 債務成本 債券收益 利息費用1 前言本文研究了公司信息披露質量與債務融資成本之間的關

2、系。關于債務資本成本的決定因素的研究中，一般認為債務資本成本與借款公司的違約成本呈顯著的負相關關系。本研究的前提認為，債權人憑借公司的信息披露情況來判斷其違約的可能性。標準普爾(1982)曾發(fā)布，會計披露質量是他們?yōu)閭M行評級時的重要參考因素。這一機制表明公司及時詳盡的信息披露會降低隱瞞價值相關的不利信息的嫌疑，對于增強債權人信任有著積極的作用，可以獲得較低的違約風險的預期。本文的結論有以上的研究內容組成。公司的信息披露根據公司信息聯(lián)合委員會提供的年度公司財務分析報告。每一份分析報告均提供400至500家公司的分析評估報告，報告是以公司的年報和季報、危機公關信息，以及其他公開披露信息為基礎來

3、評價其信息披露質量的。計量債務成本的方式有兩種可供選擇：（1）債務的到期收益（2）總利息（減除擔保人獲得的折扣后的凈值）。研究結果顯示，在控制了其他變量之后，兩種計量債務成本的指標均與信息披露質量呈負相關。此外，市場不確定性越強，公司債務成本與信息披露之間的負相關性越顯著。本文與最近一項關于公司信息披露與資本成本的關系的研究頗有關聯(lián)。welker(1995)研究證實公司財務信息質量與資本成本中的出價-詢價成交時間botosan（1997）研究證實了機械產業(yè)年報中信息披露與公開資本成本之間的負相關關系。她發(fā)現(xiàn)在分析師跟隨較少的公司中，信息披露質量與公開資本成本呈顯著負相關，但這一結果卻并未在分析

4、師跟隨較多的公司中得以證實。此外，本研究還通過驗證信息披露質量與債務資本成本之間的關系，從而擴展了信息披露質量的相關研究。之前沒有同樣的研究，但是信息披露與債務資本成本的關系仍然是非常重要的，因為，在美國，債務融資是公司外部融資的主要手段。本文的結構如下：第二章將提出研究假設，第三章闡述研究方法，第四章對提出的研究假設進行實證檢驗，首先對樣本進行描述性統(tǒng)計，第五章對檢驗的結果進行處理，第六章是研究結論與參考文獻。2 研究假設對于公司行為的研究基本的前提是公司的管理者相對于外部利益相關者而言擁有更多、更好的信息，他們對于公司的現(xiàn)狀和未來預期有更好的把握。他們通過年報、季報、強制披露信息、財務分析

5、報告等方式，有一定選擇地披露信息，對公司的現(xiàn)狀與未來狀況提供了比較模糊的信號。個人投資者和金融機構在借錢給這些公司的時候，基于所有可以掌握的信息來判斷公司的違約風險。擔保人通過自己獲得的費用來判斷風險。在對公司進行違約風險評估時，一個對公司不利的因素就是公司有意隱瞞與公司價值相關的不利信息。這一可能性越強，債權人與擔保人評估的風險就越大。借款人與擔保人為了評估公司隱瞞信息的可能性，他們會回顧公司以往的信息披露歷史。在這一過程中，公司在年報、季報、危機公關、高層管理者的討論等信息披露的詳盡度、清晰度成為判斷的重要考量因素。評分高的公司被認為進行了及時的信息披露。債權人與擔保人會相應認為公司的隱瞞

6、不利信息的可能性較小，從而認為這些公司的違約風險較小。這就產生了第一個研究假設。h1：公司債務成本與其信息披露質量呈負相關。第二個假設認為債權人與擔保人是否信任、依賴信息披露質量，取決于市場情況。市場的不確定性越高，反映在股票價格的波動性就越強，公司未來風險難以判斷的情況下，傳統(tǒng)的判斷違約風險的指標，比如杠桿系數(shù)和收益率，情報價值降低。債權人和擔保人對于公司信息披露質量的依賴性就變強。h2：公司的市場不確定性越強（弱），債務成本與信息披露質量的關系越強（弱）。3 模型建立信息披露質量對債務資本成本影響的檢驗模型如下：codt+1=f(disct, control variables) (1)c

7、odt+1是第t+1年的債務成本，disct是第t年信息披露質量。3.1 債務資本成本計量（cod）以下兩個模型替代codt+1：yield=債務到期收益。這一指標代表本金和現(xiàn)值與被借款人支出相等是所需的最低利率。icost=總利息。這一指標是本金和的限制與借款人（公司）除去付給擔保人的折扣之后獲得的凈值相等時所需要的利息率。icost表示公司實際獲得的金額所產生的實際利率。它包括有債權人和擔保人的風險預估。yield包括了債權人的風險預估。如果債權人與擔保人都用信息披露質量來評價公司的違約風險的話，disc預期與兩種計量債務成本的指標均呈負相關。相較于yield，disc與icost的相關性

8、將更加顯著。yield和icost的數(shù)據均來自于，穆迪評級機構的相關債券評級資料。3.2 信息披露質量的計量（disc）由公司信息聯(lián)合委員會發(fā)布的年度公司財務分析報告提供了公司總體信息披露質量的計量標準。目前該報告由aimr的分支機構faf發(fā)布，每年的報告中基于公司在會計年度中發(fā)布的年報、季報、委托聲明以及其它諸如危機公關、 白皮書、直接會議與聲明等公開披露信息的情況，對公司樣本的信息披露進行評估。評估主要關注信息披露的及時性、全面性、清晰度等。根據這一評估，公司被賦予一個分數(shù)，不同的信息披露行為會被賦予不同的分數(shù)。這一評分被專門從事某一行業(yè)的子委員會發(fā)布。每一個子委員會會確認待評公司與評分流

9、程。隨后，委員會成員會對行業(yè)中選擇出的公司進行評分。最后，各個委員會狙擊討論評分結果。通常情況下，獲得最高分數(shù)的公司將獲得杰出獎項或一封嘉獎函。為了保證行業(yè)間的可比性，faf提供了詳盡的評分標準備忘，以及不同種類信息披露評分的指導。每年400到500家公司會被納入評分范圍，評分對象相對保持穩(wěn)定。每個子委員會平均有13位委員參與評分。faf評分包括幾乎所有公司信息披露渠道獲取的財務分析。債權人與擔保人傾向于將所有信息披露納入他們的風險判斷中，所以faf分數(shù)在我們的研究中用于衡量信息披露質量是恰當?shù)?。本文中一個潛在的不利因素是faf分數(shù)是基于分析師對于公司的信息披露行為的主觀判斷。判斷中的偏差與錯

10、誤會直接影響分數(shù)。faf實施了一些列措施以降低這一風險。首先，faf只發(fā)布平均分數(shù)，以降低評分人有意、無意的個人偏見；第二，faf提供了詳盡的評分指導和易于理解的評分執(zhí)行標準，幫助降低行業(yè)內外的評分誤差；第三，每一位評分人都是行業(yè)中的專家，從而降低由于知識不足帶來的評分偏差。最近信息披露質量的研究表明用faf分數(shù)提到市場中的信息不對稱是可信的。lang和lundholm（1993）的研究中證實了faf分數(shù)與預測分析的股票回報的偏差呈負相關。farragher等（1994）的研究和lang與lundholm（1996）的研究中證實faf分數(shù)與股票利好預期的公布有顯著的負相關。welker(199

11、5)研究中證實faf分數(shù)與股票出價-詢價的成交時間呈負相關。債權人與擔保人根據公司過去的信息披露行為來判斷公司的違約可能性。本項研究中，信息披露質量的計量指標faf分數(shù)取三年的平均值。3.3 控制變量本文中的控制變量根據之前關于公司債券和國債收益率的決定因素的研究而確定的。這些研究明確從債務特征（違約風險、公司規(guī)模、債務特征等）以及宏觀經濟環(huán)境（市場收益率、經濟周期等）解釋了債務成本問題?；谶@些研究，以下控制變量將被列入考慮：3.3.1 公司及債務屬性lsize=公司規(guī)模的對數(shù)（十萬美元為單位）。保險業(yè)的規(guī)模經濟效應使得債務成本與公司規(guī)模有顯著關系。lmatur=債務到期年數(shù)。長期債券由于風

12、險較高，所以其yield與icost較高。call第一次召回時距離到期時間到期年數(shù)。如未發(fā)生召回，則call=1。convert=1（債券為可轉換債券）；convert=0（債券為不可轉換債券）?？赊D換債券的yield與icost較高。subord=1（次級債券）；subord=0（不是次級債券）。次級債券的yield與icost較高。3.3.2 市場條件tbill=美國同期國債利率。同期國債利率較高，則同期債券的yield與icost較高。bc年期國債利率與穆迪aaa級債券平均利率之差。這一差別越大，yield與icost越高。之前對于yield與icost的決定因素的研究中，一般使用債券利

13、率作為衡量公司違約風險的標準。本次研究中，使用信息披露作為違約風險的衡量標準。實際上標準普爾公司曾聲明，標普為債券評級時，其會計信息披露質量已經納入評估范圍，因此對于公司來說，評級后的信息披露并不會改變評級結果，似乎就沒有必要了。為了避免這一問題，在債券評級相關研究的基礎上，產生了另一組替代變量。3.3.3 替代變量de長期債券面值第年現(xiàn)值。這一指標較高的公司，其yield與icost也較高。margin異常變動前收入第年經營業(yè)額。邊際收益較高的共公司yield與icost較低。times（收入利息費用）利息費用。利息償還倍數(shù)較高的公司，yield與icost較低。lasset總資產的對數(shù)。公

14、司規(guī)模越大，yield與icost越低。stdretn=股票回報的標準差。作為市場不確定性的替代變量，預期與yield與icost呈正相關。以下為研究模型：cod = 0 + 1 disc + 2 de + 3 margin + 4 times + 5 lasset + 6 stdretn + 7 lsize + 8 lmatur + 9 call + 10 convert + 11 subord + 12 tbill + 13 bc + .（）其中codyield或icost研究中的預期方向為：1，2，3，4，5，6，7，8，9，10，11，12，13。針對假設二的檢驗是檢驗disc與cod

15、的關聯(lián)強度，需要根據stdretn的值將樣本分為兩組。信息披露質量對債務成本的影響預期對于stdretn高的一組將比stdretn低的一組更加顯著。如果h1與l1分別代表式（）中disc在stdretn高的一組與另一組的相關系數(shù)，則預期（h1l1）。為了檢驗兩組數(shù)據的相關性差別，設置一啞變量diff來檢驗：diff=disc（stdretn高的一組） =0（stdretn低的一組）diff的系數(shù)代表（h1l1）的斜率。以下模型用來檢驗兩組數(shù)據信息披露的差異：cod = 0 + l1 disc + （h1l1）diff + 2 de + 3 margin + 4 times + 5 lasset

16、 + 6 stdretn + 7 lsize + 8 lmatur + 9 call + 10 convert + 11 subord + 12 tbill + 13 bc + .（3）系數(shù)預期方向：l1<0,（h1l1）, 2，3，4，5，6，7，8，9，10，11，12，13。樣本選擇與描述性統(tǒng)計所有的公司評分與研究公司均出自年的各年度的faf報告。為了保證不同行業(yè)間的可比性，將各個公司的評分轉換為行業(yè)指數(shù)百分比，因此將未提供行業(yè)指數(shù)的行業(yè)內公司剔除。此外，金融行業(yè)由于風險判斷與其他公司不同，因此也被剔除。最后，研究中的faf分數(shù)取的是三年平均值，對于參評不足三年的公司也被剔除。至此

17、，僅剩余個年度公司評分數(shù)據（家公司）。信息披露的樣本與穆迪評分機構的記錄相符，對于研究年段內沒有債務的公司，也予以剔除。因此剩下個年度數(shù)據和家公司（其中個評分數(shù)據和家公司有icost數(shù)據）。經過嚴格篩選，保證了數(shù)據的穩(wěn)定性。數(shù)據自相關性越強，對于假設的假煙越加產生干擾，簡單的多重回歸和夸大t值。因此選擇債務成本數(shù)據的橫斷面，僅僅針對每個公司采用一個觀測值（最近年度的觀測值）。經過檢測，有一些控制變量對29家公司并不適用，因此最后剩余114家公司適用于yield，103家公司適用于icost。數(shù)據來源于15個行業(yè)，每個行業(yè)中有3-16家公司。信息披露評分中，retail trade行業(yè)平均分為9

18、2.67，nonferrous metals and mining行業(yè)僅有49.98分。行業(yè)間信息披露分數(shù)有著差異，為了避免行業(yè)差異帶來的誤差，取行業(yè)分數(shù)的方差對數(shù)據進行處理，并進行單獨的檢驗。5 結論樣本特征：信息披露分數(shù)中值為76.38,最高值為96.37,最低值為43.83，標準差為12.43。樣本中大公司規(guī)模有60億。yield與icost隨公司規(guī)模變化，也有較大跨度。最低的yield僅4.5，最高的有11.74.5.1 信息披露質量與債券利率在檢驗信息披露質量與債務成本之前，先應用之前的模型檢驗信息披露質量與債券利率的關系：rate = + disc + de + margin +

19、times + lasset + stdretn + lsize + lmatur + call + oconvert+ subord +v （）rate取值1至6，來自穆迪評分的aaa,aa,a,baa,ba和b六個等級。這一檢驗的目的有二。其一，本文的大部分分析都認為違約風險與公司信息披露質量有關。債券利率通常用來衡量公司的違約風險，因此，rate與disc之間的負相關關系可以加強本文研究結果。其二，模型（）也能證實目前所選的變量能較好地反映公司的違約風險。rate是等級數(shù)據，因此對模型（）的檢驗將采用logistic模型。結果顯示disc與債券利率呈負相關，恰好符合假設。同時也說明穆迪等

20、評級機構的評級和faf評分可以替代表示信息披露質量的影響。5.2 信息披露質量與債務成本對假設一h的檢驗通過模型（）進行。breusch和pagan檢驗證實債務成本的兩種計量指標均符合假設。disc的相關性是負相關，并且在。水平下，兩個模型回歸均顯著。說明disc和icost之間有著很強的聯(lián)系，也就是說，disc與債權人和擔保人對債務風險的預估都有關系。也就是說，假設適用于債權人和擔保人的風險預期。控制變量基本上符合預期的相關方向，不同控制變量之間的交叉相關性也得到檢驗，雖然交叉相關，但是對于研究中債務成本的假設并沒有影響。5.3 信息披露質量，市場情況和債務成本高strenth值與低stre

21、nth值兩組數(shù)據的檢驗是基于模型（）進行的。結果現(xiàn)實diff在。水平下，與兩種債務成本指標均顯著負相關。這支持了假設二的觀點，在市場不確定性較強的情況下，債權人與擔保人更多地依賴公司信息披露質量來判斷公司的違約風險。小結本文驗證得出，公司的信息披露質量與債務融資成本呈顯著負相關，信息披露質量主要通過兩個方面影響融資成本：債券的到期收益率以及利息費用。這些發(fā)現(xiàn)支持了債權人通過公司的信息披露來判斷公司未來發(fā)展情況，進行公司的違約預期的觀點。本文還有很多結論，公司信息披露質量是依據財務分析師對其及時性、全面性等做出的評價，并且證實信息披露越及時、越全面，信息披露對債債務成本降低的影響越大。與此同時，

22、當市場對公司表現(xiàn)的不確定性越強，信息披露對債務成本的影響就越顯著。這也說明債券發(fā)行與利息費用反映了信息披露的質量水平，也為理解信息披露質量提供了另一條參考。（圖表與參考文獻略去，未進行翻譯）1024浙江大學本科畢業(yè)論文外文原稿corporate disclosure quality and the cost of debtpartha senguptauniversity of hawaii at manoaabstract: this paper provides evidence that firms with high disclosure quality ratings from fi

23、nancial analysts enjoy a lower effective interest cost of issuing debt. this finding is consistent with the argument that a policy of timely and detailed disclosures reduces lenders' and underwriters' perception of de- fault risk for the disclosing firm, reducing its cost of debt. the result

24、s also indicate that the relative importance of disclosures is greater in situations where there is greater market uncertainty about the firm as reflected by the variance of stock returns. since debt financing is an important source of external financing for publicly traded firms, the results have i

25、mportant implications on our understanding of the motives and consequences of corporate disclosures. key words: disclosure quality, cost of debt, bond yield, interest cost. data availability: data are publicly available from sources identified in the paper. i. introduction this paper investigates th

26、e link between a firm's overall disclosure quality and its cost of debt financing. the literature on the determinants of cost of debt generally documents a negative association between measures of the default risk of the firm and the cost of debt.see for example, fisher (1959), jaffee (1975), ki

27、dwell et al. (1984) and fung and rudd (1986). this paper is based, in part, on my dissertation completed at the university of florida. i am indebted to my dissertation committee, bipin ajinkya (chairman), rashad abdel-khalik, robert knechel and mike ryngaert for their assistance. i am also grateful

28、to anwar ahmed, sudipta basu, dan givoly, jeff gramlich, carla hayn, jenny teruya, workshop participants at baruch college-cuny, university of california, irvine, emory university, university of florida, university of hawaii at manoa, university of illinois at chicago and university of maryland, the

29、 editor, the associate editor and two anonymous reviewers for many helpful suggestions. remaining errors are my responsibility. this study is based on the idea that lenders and underwriters consider a firm's disclosure policy in their estimate of default risk. some support for this idea is found

30、 in standard & poor's (1982, 25) which states that s&p considers accounting quality as a factor in establishing the rating of an industrial bond issue. this practice suggests that firms that consistently make timely and informative disclosures are perceived to have a lowerlikelihood of w

31、ithholding value-relevant unfavorable information. as a result these firms are charged a lower risk premium. the results of the paper are consistent with the above argument. a firm's disclosure policy is measured by financial analysts' evaluations of corporate disclosure practices, available

32、 from the annual volumes of the report of the financial analysts federation corporate information committee. in 1989 the financial analysts federation (faf) combined with the institute of chartered financial analysts (icfa) to form the association for investment management and research (aimr). thus,

33、 from 1990 onwards, the corporate disclosure evaluations were published by aimr under the new title: corporate information committee report (cicr). the evaluations, however, are still prepared by a committee of the faf. each volume provides evaluations of a sample of 400-500 firms based on their dis

34、closures through annual and quarterly reports, 10k, press releases and other public announcements and discussion with financial analysts. two alternative measures of the cost of debt of the firm are considered here: (1) the yield to maturity on new debt issues and (2) the total interest cost of new

35、debt issues, which is based on the amount received by the issuer, net of underwriter discount. results show that both measures of cost of debt are negatively associated with the disclosure measure, after controlling for other potential determinants of a firm's cost of debt. the results also indi

36、cate that disclosures are more important for firms that face large uncertainty as measured by the standard deviation of daily stock returns. the findings of this paper are related to a recent line of inquiry on the implications of corporate disclosures on a firm's cost of equity capital and its

37、components. welker (1995) documented a negative association between the financial analysts' disclosure measure and a component of the cost of equity capital-the bid-ask spread set by market makers. botosan (1997) explored the association between disclosures in annual reports for the machinery in

38、dustry and a firm's cost of equity capital. she found a negative association between the disclosure measure and the cost of equity capital for firms with low analyst following, but the results did not extend to firms with high analyst following. this study extends the investigation of the conseq

39、uences of disclosure quality by providing evidence of a link between disclosure quality and the cost of debt capital. although previous studies have not explored this relation, the issue is important because debt financing is the predominant form of external financing for publicly traded firms in th

40、e u.s. for example, during 1992, publicly traded companies raised approximately $2,764 billion through investment grade debt issue (which excludes mortgage and government-backed debt, convertible debt and junk bonds) in comparison to approximately $932 billion raised through common and nonconvertibl

41、e preferred stock issue i information on aggregate debt and equity issues was obtained from the january 11, 1993 issue of the investment dealers' digest. . the results here, combined with those of prior studies, suggest that disclosure quality influences the cost of both debt and equity capital.

42、 thus, the consequences of disclosure quality are broader than a focus on equity issues alone could reveal. the paper is organized as follows. section ii develops the hypotheses to be tested, section iii discusses the research methodology, section iv describes the sample, section v reports the resul

43、ts and section vi summarizes the conclusions and inferences. ii. hypothesis development research on corporate behavior generally indicates that managers have better information than outsiders about the firm's past and future economic performance. while management releases information to the mark

44、et through a number of sources including annual and quarterly reports, press releases and financial analysts, these provide, at best, a noisy signal about the firm's current and future economic performance. individual investors and financial institutions, when lending money to these corporations

45、, try to assess the default risk of the firm based on all available information. underwriters similarly incorporate default risk estimates in their fees. one of the factors likely to enter into the default risk calculations is the probability that the firm is withholding value-relevant unfavorable i

46、nformation unfavorable information in this context is defined as information that would increase the default risk of the firm. the larger this probability (as assessed by the lender and underwriter), the larger the risk premium they would charge the firm. in order to assess the likelihood that firms

47、 may be withholding adverse information, lenders and underwriters could look at past corporate disclosures. factors likely to be important in making this assessment are the degree of detail and clarity in annual and quarterly reports, the accessibility of top management for discussion with financial

48、 analysts and the frequency of press releases. firms consistently scoring high in these respects could be considered to have acquired a reputation for making timely disclosures. lenders and underwriters then attach a lower probability that these firms generally withhold adverse private information a

49、nd will consequently charge them a lower risk premium. this leads to the first hypothesis: hi: a firm's incremental cost of issuing debt is inversely related to the quality of its disclosures. while the content of any specific disclosure can cause lenders and underwriters to either increase or d

50、ecrease their estimates of default risk, the focus of this study is the overall disclosure efforts of a firm over a number of years. the second hypothesis examines whether lenders' and underwriters' reliance on disclo- sure quality is dependent on market conditions. it may be argued that in

51、situations where there is high market uncertainty about a firm's future, as reflected in the volatility in stock returns, traditional ratios used to estimate default risk, such as leverage and profitability, may be less informative about default risk. in this case, lenders and underwriters may r

52、ely more heavily on corporate disclosure quality in their default risk calculations. this leads to the second hypothesis: h2: the relation between the quality of disclosures and the incremental cost of debt issue is stronger (weaker) for firms that are characterized by high (low) market uncertainty.

53、 iii. methodology the impact of corporate disclosures on a firm's cost of debt is examined using the following model: codt+1 = f(disct, control variables) .(1) where codt+1 is the cost of debt issued in year t + 1 and disct is a measure of disclosure quality over a period of years ending in year

54、 t. these variables and the control variables are discussed below. measures of cost of debt (cod) the following two proxies are used to measure codt+1: yield = yield to maturity on the first debt issue of year t + 1. this represents the effective rate of interest that equates the present value of th

55、e principal and interest payments with the amount paid by the lender. icost = total interest cost to the firm on its first debt issue of year t + 1. this represents the effective rate of interest at which the present value of the principal and interest payment is equal to the amount received by the

56、firm, net of underwriter discounts. icost captures the effective incremental borrowing cost of a firm as it is based on the actual amount received by the firm. it thus includes the risk premium charged by both the bondholders and underwriters. the yield measure is also included because it captures t

57、he risk premium charged by bondholders, which is the largest component of a firm's cost of debt. while disc is expected to be negatively associated with both measures of cost of debt, if both bondholders and underwriters use corporate disclosures in their default risk estimates, disc would have

58、a stronger association with icost (as compared to that with yield). data on yield and icost were primarily collected from the various issues of moody's bond survey (moody's investor service 1989-93). in some cases moody's did not have icost information in which case these were collected (whenever available) from issues of investment dealers' digest (investment dealers' digest, inc. 1989-93). the disclosure quality measure (disc) a measure of a firm's overall d