Equilibrium Voluntary Disclosures, Asset Pricing, and Information Transfers, Journal of Accounting and Economics
We study a firm's manager's voluntary disclosure decisions and those disclosure decisions' asset pricing, cost of capital, and information transfer effects in a model where investors trade multiple securities. We: develop new asset pricing formulas when the manager makes no disclosure that impose testable cross-equation restrictions on firms' market values; develop a wide array of comparative statics; obtain surprising findings about nondisclosure's effects on investors' perceptions of uncertainty about firms' future cash flows; develop simple, interpretable expressions for firms' cost of capital; and show how no disclosure by one firm generates informational externalities on other firms.
Dye, A. Ronald. 2018. Equilibrium Voluntary Disclosures, Asset Pricing, and Information Transfers. Journal of Accounting and Economics. 66(1): 1-24.