信息披露质量与债务资本成本.doc

本科毕业论文外文翻译稿信息披露质量与债务资本成本摘要：本文研究了在财务分析师针对信息披露质量的评价中获得较高评价的公司，能够获得较低的贷款利率。目前的研究中存在一个争议，是否及时、详尽的信息披露有利于降低债权人对于借款人违约的风险预估，从而降低借款公司的债务成本。本文的研究关注的正是这一争议。本文结论同样证实市场上公司股票价格波动所反映的不确定性程度也将决定信息披露质量对借款人的影响程度。债务融资是公司拓宽贸易渠道、发展市场的重要资金来源，债务融资的经济后果也是公司进行信息披露的动机之一。关键词：信息披露质量 债务成本 债券收益 利息费用1 前言本文研究了公司信息披露质量与债务融资成本之间的关系。关于债务资本成本的决定因素的研究中，一般认为债务资本成本与借款公司的违约成本呈显著的负相关关系。本研究的前提认为，债权人凭借公司的信息披露情况来判断其违约的可能性。标准普尔(1982)曾发布，会计披露质量是他们为债券进行评级时的重要参考因素。这一机制表明公司及时详尽的信息披露会降低隐瞒价值相关的不利信息的嫌疑，对于增强债权人信任有着积极的作用，可以获得较低的违约风险的预期。本文的结论有以上的研究内容组成。公司的信息披露根据公司信息联合委员会提供的年度公司财务分析报告。每一份分析报告均提供400至500家公司的分析评估报告，报告是以公司的年报和季报、危机公关信息，以及其他公开披露信息为基础来评价其信息披露质量的。计量债务成本的方式有两种可供选择：（1）债务的到期收益（2）总利息（减除担保人获得的折扣后的净值）。研究结果显示，在控制了其他变量之后，两种计量债务成本的指标均与信息披露质量呈负相关。此外，市场不确定性越强，公司债务成本与信息披露之间的负相关性越显著。本文与最近一项关于公司信息披露与资本成本的关系的研究颇有关联。welker(1995)研究证实公司财务信息质量与资本成本中的出价-询价成交时间botosan（1997）研究证实了机械产业年报中信息披露与公开资本成本之间的负相关关系。她发现在分析师跟随较少的公司中，信息披露质量与公开资本成本呈显著负相关，但这一结果却并未在分析师跟随较多的公司中得以证实。此外，本研究还通过验证信息披露质量与债务资本成本之间的关系，从而扩展了信息披露质量的相关研究。之前没有同样的研究，但是信息披露与债务资本成本的关系仍然是非常重要的，因为，在美国，债务融资是公司外部融资的主要手段。本文的结构如下：第二章将提出研究假设，第三章阐述研究方法，第四章对提出的研究假设进行实证检验，首先对样本进行描述性统计，第五章对检验的结果进行处理，第六章是研究结论与参考文献。2 研究假设对于公司行为的研究基本的前提是公司的管理者相对于外部利益相关者而言拥有更多、更好的信息，他们对于公司的现状和未来预期有更好的把握。他们通过年报、季报、强制披露信息、财务分析报告等方式，有一定选择地披露信息，对公司的现状与未来状况提供了比较模糊的信号。个人投资者和金融机构在借钱给这些公司的时候，基于所有可以掌握的信息来判断公司的违约风险。担保人通过自己获得的费用来判断风险。在对公司进行违约风险评估时，一个对公司不利的因素就是公司有意隐瞒与公司价值相关的不利信息。这一可能性越强，债权人与担保人评估的风险就越大。借款人与担保人为了评估公司隐瞒信息的可能性，他们会回顾公司以往的信息披露历史。在这一过程中，公司在年报、季报、危机公关、高层管理者的讨论等信息披露的详尽度、清晰度成为判断的重要考量因素。评分高的公司被认为进行了及时的信息披露。债权人与担保人会相应认为公司的隐瞒不利信息的可能性较小，从而认为这些公司的违约风险较小。这就产生了第一个研究假设。h1：公司债务成本与其信息披露质量呈负相关。第二个假设认为债权人与担保人是否信任、依赖信息披露质量，取决于市场情况。市场的不确定性越高，反映在股票价格的波动性就越强，公司未来风险难以判断的情况下，传统的判断违约风险的指标，比如杠杆系数和收益率，情报价值降低。债权人和担保人对于公司信息披露质量的依赖性就变强。h2：公司的市场不确定性越强（弱），债务成本与信息披露质量的关系越强（弱）。3 模型建立信息披露质量对债务资本成本影响的检验模型如下：codt+1=f(disct, control variables) (1)codt+1是第t+1年的债务成本，disct是第t年信息披露质量。3.1 债务资本成本计量（cod）以下两个模型替代codt+1：yield=债务到期收益。这一指标代表本金和现值与被借款人支出相等是所需的最低利率。icost=总利息。这一指标是本金和的限制与借款人（公司）除去付给担保人的折扣之后获得的净值相等时所需要的利息率。icost表示公司实际获得的金额所产生的实际利率。它包括有债权人和担保人的风险预估。yield包括了债权人的风险预估。如果债权人与担保人都用信息披露质量来评价公司的违约风险的话，disc预期与两种计量债务成本的指标均呈负相关。相较于yield，disc与icost的相关性将更加显著。yield和icost的数据均来自于，穆迪评级机构的相关债券评级资料。3.2 信息披露质量的计量（disc）由公司信息联合委员会发布的年度公司财务分析报告提供了公司总体信息披露质量的计量标准。目前该报告由aimr的分支机构faf发布，每年的报告中基于公司在会计年度中发布的年报、季报、委托声明以及其它诸如危机公关、 白皮书、直接会议与声明等公开披露信息的情况，对公司样本的信息披露进行评估。评估主要关注信息披露的及时性、全面性、清晰度等。根据这一评估，公司被赋予一个分数，不同的信息披露行为会被赋予不同的分数。这一评分被专门从事某一行业的子委员会发布。每一个子委员会会确认待评公司与评分流程。随后，委员会成员会对行业中选择出的公司进行评分。最后，各个委员会狙击讨论评分结果。通常情况下，获得最高分数的公司将获得杰出奖项或一封嘉奖函。为了保证行业间的可比性，faf提供了详尽的评分标准备忘，以及不同种类信息披露评分的指导。每年400到500家公司会被纳入评分范围，评分对象相对保持稳定。每个子委员会平均有13位委员参与评分。faf评分包括几乎所有公司信息披露渠道获取的财务分析。债权人与担保人倾向于将所有信息披露纳入他们的风险判断中，所以faf分数在我们的研究中用于衡量信息披露质量是恰当的。本文中一个潜在的不利因素是faf分数是基于分析师对于公司的信息披露行为的主观判断。判断中的偏差与错误会直接影响分数。faf实施了一些列措施以降低这一风险。首先，faf只发布平均分数，以降低评分人有意、无意的个人偏见；第二，faf提供了详尽的评分指导和易于理解的评分执行标准，帮助降低行业内外的评分误差；第三，每一位评分人都是行业中的专家，从而降低由于知识不足带来的评分偏差。最近信息披露质量的研究表明用faf分数提到市场中的信息不对称是可信的。lang和lundholm（1993）的研究中证实了faf分数与预测分析的股票回报的偏差呈负相关。farragher等（1994）的研究和lang与lundholm（1996）的研究中证实faf分数与股票利好预期的公布有显著的负相关。welker(1995)研究中证实faf分数与股票出价-询价的成交时间呈负相关。债权人与担保人根据公司过去的信息披露行为来判断公司的违约可能性。本项研究中，信息披露质量的计量指标faf分数取三年的平均值。3.3 控制变量本文中的控制变量根据之前关于公司债券和国债收益率的决定因素的研究而确定的。这些研究明确从债务特征（违约风险、公司规模、债务特征等）以及宏观经济环境（市场收益率、经济周期等）解释了债务成本问题。基于这些研究，以下控制变量将被列入考虑：3.3.1 公司及债务属性lsize=公司规模的对数（十万美元为单位）。保险业的规模经济效应使得债务成本与公司规模有显著关系。lmatur=债务到期年数。长期债券由于风险较高，所以其yield与icost较高。call第一次召回时距离到期时间到期年数。如未发生召回，则call=1。convert=1（债券为可转换债券）；convert=0（债券为不可转换债券）。可转换债券的yield与icost较高。subord=1（次级债券）；subord=0（不是次级债券）。次级债券的yield与icost较高。3.3.2 市场条件tbill=美国同期国债利率。同期国债利率较高，则同期债券的yield与icost较高。bc年期国债利率与穆迪aaa级债券平均利率之差。这一差别越大，yield与icost越高。之前对于yield与icost的决定因素的研究中，一般使用债券利率作为衡量公司违约风险的标准。本次研究中，使用信息披露作为违约风险的衡量标准。实际上标准普尔公司曾声明，标普为债券评级时，其会计信息披露质量已经纳入评估范围，因此对于公司来说，评级后的信息披露并不会改变评级结果，似乎就没有必要了。为了避免这一问题，在债券评级相关研究的基础上，产生了另一组替代变量。3.3.3 替代变量de长期债券面值第年现值。这一指标较高的公司，其yield与icost也较高。margin异常变动前收入第年经营业额。边际收益较高的共公司yield与icost较低。times（收入利息费用）利息费用。利息偿还倍数较高的公司，yield与icost较低。lasset总资产的对数。公司规模越大，yield与icost越低。stdretn=股票回报的标准差。作为市场不确定性的替代变量，预期与yield与icost呈正相关。以下为研究模型：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研究中的预期方向为：1，2，3，4，5，6，7，8，9，10，11，12，13。针对假设二的检验是检验disc与cod的关联强度，需要根据stdretn的值将样本分为两组。信息披露质量对债务成本的影响预期对于stdretn高的一组将比stdretn低的一组更加显著。如果h1与l1分别代表式（）中disc在stdretn高的一组与另一组的相关系数，则预期（h1l1）。为了检验两组数据的相关性差别，设置一哑变量diff来检验：diff=disc（stdretn高的一组） =0（stdretn低的一组）diff的系数代表（h1l1）的斜率。以下模型用来检验两组数据信息披露的差异：cod = 0 + l1 disc + （h1l1）diff + 2 de + 3 margin + 4 times + 5 lasset + 6 stdretn + 7 lsize + 8 lmatur + 9 call + 10 convert + 11 subord + 12 tbill + 13 bc + .（3）系数预期方向：l10,（h1l1）, 2，3，4，5，6，7，8，9，10，11，12，13。样本选择与描述性统计所有的公司评分与研究公司均出自年的各年度的faf报告。为了保证不同行业间的可比性，将各个公司的评分转换为行业指数百分比，因此将未提供行业指数的行业内公司剔除。此外，金融行业由于风险判断与其他公司不同，因此也被剔除。最后，研究中的faf分数取的是三年平均值，对于参评不足三年的公司也被剔除。至此，仅剩余个年度公司评分数据（家公司）。信息披露的样本与穆迪评分机构的记录相符，对于研究年段内没有债务的公司，也予以剔除。因此剩下个年度数据和家公司（其中个评分数据和家公司有icost数据）。经过严格筛选，保证了数据的稳定性。数据自相关性越强，对于假设的假烟越加产生干扰，简单的多重回归和夸大t值。因此选择债务成本数据的横断面，仅仅针对每个公司采用一个观测值（最近年度的观测值）。经过检测，有一些控制变量对29家公司并不适用，因此最后剩余114家公司适用于yield，103家公司适用于icost。数据来源于15个行业，每个行业中有3-16家公司。信息披露评分中，retail trade行业平均分为92.67，nonferrous metals and mining行业仅有49.98分。行业间信息披露分数有着差异，为了避免行业差异带来的误差，取行业分数的方差对数据进行处理，并进行单独的检验。5 结论样本特征：信息披露分数中值为76.38,最高值为96.37,最低值为43.83，标准差为12.43。样本中大公司规模有60亿。yield与icost随公司规模变化，也有较大跨度。最低的yield仅4.5，最高的有11.74.5.1 信息披露质量与债券利率在检验信息披露质量与债务成本之前，先应用之前的模型检验信息披露质量与债券利率的关系：rate = + disc + de + margin + times + lasset + stdretn + lsize + lmatur + call + oconvert+ subord +v （）rate取值1至6，来自穆迪评分的aaa,aa,a,baa,ba和b六个等级。这一检验的目的有二。其一，本文的大部分分析都认为违约风险与公司信息披露质量有关。债券利率通常用来衡量公司的违约风险，因此，rate与disc之间的负相关关系可以加强本文研究结果。其二，模型（）也能证实目前所选的变量能较好地反映公司的违约风险。rate是等级数据，因此对模型（）的检验将采用logistic模型。结果显示disc与债券利率呈负相关，恰好符合假设。同时也说明穆迪等评级机构的评级和faf评分可以替代表示信息披露质量的影响。5.2 信息披露质量与债务成本对假设一h的检验通过模型（）进行。breusch和pagan检验证实债务成本的两种计量指标均符合假设。disc的相关性是负相关，并且在。水平下，两个模型回归均显著。说明disc和icost之间有着很强的联系，也就是说，disc与债权人和担保人对债务风险的预估都有关系。也就是说，假设适用于债权人和担保人的风险预期。控制变量基本上符合预期的相关方向，不同控制变量之间的交叉相关性也得到检验，虽然交叉相关，但是对于研究中债务成本的假设并没有影响。5.3 信息披露质量，市场情况和债务成本高strenth值与低strenth值两组数据的检验是基于模型（）进行的。结果现实diff在。水平下，与两种债务成本指标均显著负相关。这支持了假设二的观点，在市场不确定性较强的情况下，债权人与担保人更多地依赖公司信息披露质量来判断公司的违约风险。小结本文验证得出，公司的信息披露质量与债务融资成本呈显著负相关，信息披露质量主要通过两个方面影响融资成本：债券的到期收益率以及利息费用。这些发现支持了债权人通过公司的信息披露来判断公司未来发展情况，进行公司的违约预期的观点。本文还有很多结论，公司信息披露质量是依据财务分析师对其及时性、全面性等做出的评价，并且证实信息披露越及时、越全面，信息披露对债债务成本降低的影响越大。与此同时，当市场对公司表现的不确定性越强，信息披露对债务成本的影响就越显著。这也说明债券发行与利息费用反映了信息披露的质量水平，也为理解信息披露质量提供了另一条参考。（图表与参考文献略去，未进行翻译）1024浙江大学本科毕业论文外文原稿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 financial 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 results 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 important 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 the link between a firms 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), kidwell 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 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 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 firms disclosure policy in their estimate of default risk. some support for this idea is found in standard & poors (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 withholding 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 firms disclosure policy is measured by financial analysts evaluations of corporate disclosure practices, available 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, 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 disclosures 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 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 firms cost of debt. the results also indicate 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 firms cost of equity capital and its 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 industry and a firms 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 consequences 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 the 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 nonconvertible 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. 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 results 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 firms past and future economic performance. while management releases information to the market through a number of sources including annual and quarterly reports, press releases and financial analysts, these provide, at best, a noisy signal about the firms current and future economic performance. individual investors and financial institutions, when lending money to these corporations, 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 information 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 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 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 and will consequently charge them a lower risk premium. this leads to the first hypothesis: hi: a firms 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 decrease 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 situations where there is high market uncertainty about a firms 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 rely 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. iii. methodology the impact of corporate disclosures on a firms 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 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 the 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 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 the risk premium charged by bondholders, which is the largest component of a firms 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 a stronger association with icost (as compared to that with yield). data on yield and icost were primarily collected from the various issues of moodys bond survey (moodys investor service 1989-93). in some cases moodys 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 firms overall disclosure qual