Information Risk and Cost of Equity: The Role of Stock Price Crash Risk

• 발행기관: 한국유통과학회
• 저자명: Sana SALEEM Muhammad USMAN
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 8 No.1, 623~635쪽, 전체 13쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2021.01.30

영문 초록

The purpose of this research is to examine the impact of information risk on the Cost of Equity (COE) and whether the risk of a stock price crash mediates the relation between information risk and COE. To test the dynamic nature of the proposed model, the two-step system GMM dynamic panel estimators are applied to all the non-financial firms listed on the Pakistan Stock Exchange (PSX) from 2007- 2018. The results of this study show that all three types of information risk, as well as the risk of the share price crash, increases the COE. The crash risk strengthens the impact of information risk on the COE. Moreover, these three information risks are correlated with each other and an increase in information quality reduces the effect of asymmetric information and improves the investor interpreting ability, while an increase in private information decreases the transparency. The finding is crucial for asset pricing, portfolio management, and information disclosure. This study contributes to the literature by providing novel findings on the impact of three different types of information risk, i.e. private information, quality of information, and transparency of information on the COE as well as whether crash risk mediates the relationship.

목차

1. Introduction

2. Literature Review

3. Methodology

4. Results And Discussion

5. Conclusion

References

키워드

Information Risk Stock Price Crash Risk Private Information Information Quality Transparency of Information Cost of Equity