Risk-factor disclosure and asset prices
Heinle, Mirko S.
Risk-factor disclosure and asset prices / Mirko S. Heinle, Kevin C. Smith & Robert E. Verrecchia . -- Páginas 191 a la 208
Reseña : While researchers and practitioners alike estimate firms' exposures to systematic risk factors, the disclosure literature typically assumes that exposures are common knowledge. We develop a model where the firm's exposure to a factor is unknown, and analyze the effects of factor-exposure uncertainty on share price and the effects of disclosure about the exposure. We find that: (1) factor-exposure uncertainty introduces skewness and excess kurtosis in the cash flow distribution relative to the commonly used normal distribution; (2) risk-factor disclosure affects all moments of that distribution; and (3) the pricing of higher moments affects the price response of disclosure and the incentives to disclose. For example, factor-exposure uncertainty may actually increase price when the uncertainty implies positive skewness in the cash flow distribution. Hence, a reduction in uncertainty through disclosure may increase cost of capital. We also extend our model to multiple firms and show that factor-exposure uncertainty manifests as uncertainty about a firm's CAPM beta..
Contabilidad--Publicaciones seriadas
Análisis del valor (Control de costos)--Publicaciones seriadas
Riesgo (Finanzas)--Publicaciones seriadas
Smith, Kevin C. ; Verrecchia, Robert E. ;
Risk-factor disclosure and asset prices / Mirko S. Heinle, Kevin C. Smith & Robert E. Verrecchia . -- Páginas 191 a la 208
Reseña : While researchers and practitioners alike estimate firms' exposures to systematic risk factors, the disclosure literature typically assumes that exposures are common knowledge. We develop a model where the firm's exposure to a factor is unknown, and analyze the effects of factor-exposure uncertainty on share price and the effects of disclosure about the exposure. We find that: (1) factor-exposure uncertainty introduces skewness and excess kurtosis in the cash flow distribution relative to the commonly used normal distribution; (2) risk-factor disclosure affects all moments of that distribution; and (3) the pricing of higher moments affects the price response of disclosure and the incentives to disclose. For example, factor-exposure uncertainty may actually increase price when the uncertainty implies positive skewness in the cash flow distribution. Hence, a reduction in uncertainty through disclosure may increase cost of capital. We also extend our model to multiple firms and show that factor-exposure uncertainty manifests as uncertainty about a firm's CAPM beta..
Contabilidad--Publicaciones seriadas
Análisis del valor (Control de costos)--Publicaciones seriadas
Riesgo (Finanzas)--Publicaciones seriadas
Smith, Kevin C. ; Verrecchia, Robert E. ;