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1、DOI:10.1111/j.1475-679X.2007.00238.xJournalofAccountingResearchVol.45No.2May2007PrintedinU.S.A.AccountingInformation,Disclosure,andtheCostofCapitalRICHARDLAMBERT,∗CHRISTIANLEUZ,†ANDROBERTE.VERRECCHIA∗Received7October2005;accepted18December2006ABSTRACTInthispaperweexaminewhetherandhowaccountingin
2、formationaboutafirmmanifestsinitscostofcapital,despitetheforcesofdiversification.WebuildamodelthatisconsistentwiththeCapitalAssetPricingModelandexplicitlyallowsformultiplesecuritieswhosecashflowsarecorrelated.Wedemonstratethatthequalityofaccountinginformationcaninfluencethecostofcapital,bothdirectly
3、andindirectly.Thedirecteffectoccursbecausehigherqualitydisclosuresaffectthefirm’sassessedcovarianceswithotherfirms’cashflows,whichisnondiversifiable.Theindirecteffectoccursbecausehigherqualitydisclosuresaffectafirm’srealdecisions,whichlikelychangesthefirm’sratiooftheexpectedfuturecashflowstothecovarian
4、ceofthesecashflowswiththesumofallthecashflowsinthemarket.Weshowthatthiseffectcangoineitherdirection,butalsoderiveconditionsunderwhichanincreaseininformationqualityleadstoanunambiguousdeclineinthecostofcapital.1.IntroductionThelinkbetweenaccountinginformationandthecostofcapitaloffirmsisoneofthemostf
5、undamentalissuesinaccounting.Standardsetters∗TheWhartonSchool,UniversityofPennsylvania;†GraduateSchoolofBusiness,UniversityofChicago.WethankStanBaiman,JohnCochrane,GeneFama,WayneGuay,RaffiIndjejikian,EugeneKandel,ChristianLaux,D.J.Nanda,HareshSapra,CathySchrand,PhillipStocken,seminarparticipantsa
6、ttheJournalofAccountingResearchconference,OhioStateUniversity,andtheUniversityofPennsylvania,andananonymousrefereefortheirhelpfulcommentsonthispaperandpreviousdraftsofworkonthistopic.385CopyrightC,UniversityofChicagoonbehalfoftheInstituteofProfessionalAccounting,2007386R.LAMBERT,C.LEUZ,ANDR.E.V
7、ERRECCHIAfrequentlyrefertoit.Forexample,ArthurLevitt,theformerchairmanoftheSecuritiesandExchangeCommission(SEC),suggeststhat“highqualityaccountingstandards...reducecapitalcosts”(Levitt[1998,p.81]).Simi-larly,NeelFoster,aform
