The endogeneity bias in the relation between cost-of-debt capital and corporate disclosure policy

References

• Aboody , D. and Kasznik , R. 2000 . CEO stock option awards and the timing of corporate voluntary disclosures . Journal of Accounting and Economics , 29 ( 1 ) : 73 – 100 .
   Web of Science ®Google Scholar
• Amihud , Y. and Mendelson , H. 1986 . Asset pricing and the bid–ask spread . Journal of Financial Economics , 17 : 223 – 249 .
   Web of Science ®Google Scholar
• Ashenfelter , O. 1978 . Estimating the effect of training programs on earnings . Review of Economics and Statistics , 60 : 47 – 57 .
   Web of Science ®Google Scholar
• Ashenfelter , O. and Kruger , A. 1994 . Estimates of the economic return to schooling from a new sample of twins . American Economic Review , 84 : 1157 – 1173 .
   Web of Science ®Google Scholar
• Association for Investment Management and Research, Corporate Information Committee . 1997 . An Annual Review of Corporate Reporting Practices 95/96 , Charlottesville, VA : AIMR .
   Google Scholar
• Bagnani , E. 1994 . Managers, owners, and the pricing of risky debt: an empirical analysis . Journal of Finance , 49 : 453 – 478 .
   Google Scholar
• Barry , C. and Brown , S. 1985 . Differential information and security market equilibrium . Journal of Financial and Quantitative Analysis , 20 : 407 – 422 .
   Web of Science ®Google Scholar
• Bartov , E. 2000 . Investor sophistication and patterns in stock returns after earnings announcements . The Accounting Review , 75 ( 1 ) : 43 – 63 .
   Web of Science ®Google Scholar
• Ben-Porath , Y. 1973 . Labor-force participation rates and the supply of labor . The Journal of Political Economy , 81 ( 3 ) : 697 – 704 .
   Web of Science ®Google Scholar
• Bhojraj , S. and Sengupta , P. 2003 . The effect of corporate governance mechanisms on bond ratings and yields: the role of institutional investors and outside directors . The Journal of Business , 76 ( 3 ) : 455 – 475 .
   Web of Science ®Google Scholar
• Botosan , C. A. 1997 . Disclosure level and the cost of equity capital . The Accounting Review , 72 ( 3 ) : 323 – 350 .
   Web of Science ®Google Scholar
• Botosan , C. A. and Frost , C. 1998 . “ Regulation, disclosure and market liquidity ” . Washington University . Working Paper
   Google Scholar
• Botosan , C. A. and Plumlee , M. A. 2002 . A re-examination of disclosure quality and the expected cost of capital . Journal of Accounting Research , 40 ( 1–3 ) : 21 – 40 .
   Google Scholar
• Campbell , J. and Taksler , G. 2003 . Equity volatility and corporate bond yields . Journal of Finance , 58 ( 6 ) : 2321 – 2350 .
   Web of Science ®Google Scholar
• Chamberlain , G. 1978 . Omitted variable bias in panel data: estimating the returns to schooling . Annales de l'INSEE , 30 ( 1 ) : 49 – 82 .
   Google Scholar
• Chenhall , R. and Moers , F. 2004 . “ The issue of endogeneity within theory-based, quantitative management accounting research ” . Monash University . Working Paper
   Google Scholar
• Cohen , D. A. 2003 . “ Quality of financial reporting choice: determinants and economic consequences ” . Northwestern University . Working Paper
   Google Scholar
• Core , J. E. 2001 . A review of the empirical disclosure literature: discussion . Journal of Accounting and Economics , 31 : 441 – 456 .
   Web of Science ®Google Scholar
• Demski , J. 2004 . Endogenous expectations . The Accounting Review , 79 ( 2 ) : 519 – 539 .
   Web of Science ®Google Scholar
• Diamond , D. and Verrecchia , R. 1991 . Disclosure, liquidity, and the cost of capital . Journal of Finance , 46 : 1325 – 1360 .
   Web of Science ®Google Scholar
• Doidge , C. 2004 . U.S. cross-listings and the private benefits of control: evidence from dual-class firms . Journal of Financial Economics , 72 : 519 – 553 .
   Web of Science ®Google Scholar
• Dye , R. A. 1985 . Disclosure of nonproprietary information . Journal of Accounting Research , Spring : 123 – 145 .
   Google Scholar
• Dye , R. A. 1998 . Investor sophistication and voluntary disclosures . Review of Accounting Studies , 3 ( 3 ) : 261 – 287 .
   Google Scholar
• Dye , R. A. 2001 . An evaluation of ‘essays on disclosure’ and the disclosure literature in accounting . Journal of Accounting and Economics , 32 : 181 – 235 .
   Web of Science ®Google Scholar
• Easley , D. and O'Hara , M. 2004 . Information and the cost of capital . Journal of Finance , 59 : 1553 – 1584 .
   Web of Science ®Google Scholar
• Fama , E. F. and French , K. 1992 . The cross-section of expected stock returns . Journal of Finance , 47 : 427 – 465 .
   Web of Science ®Google Scholar
• Fama , E. F. and French , K. 1993 . Common risk factors in the returns on stocks and bonds . Journal of Financial Economics , 33 : 3 – 56 .
   Web of Science ®Google Scholar
• Fields , T. D. 2001 . Empirical research on accounting choice . Journal of Accounting and Economics , 31 : 255 – 307 .
   Web of Science ®Google Scholar
• Fisher , L. 1959 . Determinants of risk premiums on corporate bonds . The Journal of Political Economy , June : 217 – 237 .
   Google Scholar
• Fishman , M. J. and Hagerty , K. M. 2003 . Mandatory versus voluntary disclosure in markets with informed and uninformed customers . Journal of Law Economics and Organization , 19 : 45 – 63 .
   Google Scholar
• Francis , J. 2004 . Costs of equity and earnings attributes . The Accounting Review , 79 : 967 – 1010 .
   Web of Science ®Google Scholar
• Frankel , R. 1995 . Discretionary disclosure and external financing . The Accounting Review , 70 : 135 – 150 .
   Web of Science ®Google Scholar
• Fung , W. and Rudd , A. 1986 . Pricing new corporate bond issues: an analysis of issue cost and seasoning effects . Journal of Finance , 41 July : 633 – 654 .
   Google Scholar
• Greene , W. H. 2000 . Econometric Analysis , 4th edn , Upper Saddle River, NJ : Prentice Hall .
   Google Scholar
• Griffiths , W. 1993 . Learning and Practicing Econometrics , New York : Wiley .
   Google Scholar
• Griliches , Z. 1977 . Estimating the returns to schooling: some econometric problems . Econometrica , 45 : 1 – 22 .
   PubMed Web of Science ®Google Scholar
• Griliches , Z. and Hausman , J. A. 1986 . Errors-in-variables in panel data . Journal of Econometrics , 31 : 93 – 118 .
   Web of Science ®Google Scholar
• Guo , R. J. 2004 . Competitive costs of disclosure by biotech IPOs . Journal of Accounting Research , 42 ( 2 ) : 319 – 364 .
   Web of Science ®Google Scholar
• Hail , L. 2002 . The impact of voluntary corporate disclosure on the ex-ante cost of capital for Swiss firms . European Accounting Review , 11 ( 4 ) : 741 – 773 .
   Google Scholar
• Hail , L. and Leuz , C. 2004 . “ Cost of capital and cash flow effects of U.S. cross-listings ” . University of Pennsylvania, University of Zurich . Working Paper
   Google Scholar
• Hand , J. 1990 . A test of the functional fixation hypothesis . The Accounting Review , 65 ( 4 ) : 740 – 763 .
   Web of Science ®Google Scholar
• Hansen , L. P. 1982 . Large sample properties of generalized method of moment estimators . Econometrica , 50 : 1029 – 1054 .
   Web of Science ®Google Scholar
• Hausman , J. A. 1978 . Specification tests in econometrics . Econometrica , 46 ( 6 ) : 1251 – 1271 .
   Web of Science ®Google Scholar
• Hausman , J. A. and Taylor , W. 1981 . Panel data and unobservable individual effects . Econometrica , 49 ( 6 ) : 1377 – 1398 .
   Web of Science ®Google Scholar
• Hayashi , F. 2000 . Econometrics , Princeton, NJ : Princeton University Press .
   Google Scholar
• Healy , P. and Palepu , K. 2001 . Information asymmetry, corporate disclosure and the capital markets: a review of the empirical disclosure literature . Journal of Accounting and Economics , 31 : 405 – 440 .
   Web of Science ®Google Scholar
• Healy , P. Fall 1999 . “ Stock performance and intermediation changes surrounding sustained increases in disclosure ” . In Contemporary Accounting Research Fall , 485 – 520 .
   Google Scholar
• Heckman , J. 1979 . Sample selection bias as a specification error . Econometrica , 47 : 153 – 161 .
   Web of Science ®Google Scholar
• Heckman , J. February 2000 . “ Causal parameters and policy analysis in econometrics: a twentieth century perspective ” . In QJE February ,
   Google Scholar
• Heiflin , F. 2003 . “ Disclosure quality and market liquidity ” . Purdue University . Working Paper
   Google Scholar
• Himmelberg , C. 1999 . Understanding the determinants of managerial ownership and the link between ownership and performance . Journal of Financial Economics , 53 : 353 – 384 .
   Web of Science ®Google Scholar
• Hirshleifer , D. and Teoh , S. H. 2003 . Limited attention, information disclosure, and financial reporting . Journal of Accounting and Economics , 36 : 337 – 386 .
   Web of Science ®Google Scholar
• Hoch , I. 1962 . Estimation of production function parameters combining time-series and cross-section data . Econometrica , 30 : 34 – 53 .
   Web of Science ®Google Scholar
• Hsiao , C. 2003 . Analysis of Panel Data , Cambridge : University Press .
   Google Scholar
• Ittner , C. and Larcker , D. 2001 . Assessing empirical research in managerial accounting: a value-based management perspective . Journal of Accounting and Economics , 32 : 349 – 410 .
   Web of Science ®Google Scholar
• Jaffee , D. 1975 . Cyclical variations in the risk structure of interest rates . Journal of Monetary Economics , 1 July : 309 – 325 .
   Google Scholar
• Jog , V. and McConomy , B. J. 2003 . Voluntary disclosure of management earnings forecasts in IPO prospectuses . Journal of Business, Finance and Accounting , 30 ( 1/2 ) : 125 – 167 .
   Google Scholar
• Jung , W. O. and Kwon , Y. K. 1988 . Disclosure when the market is unsure of information endowment of managers . Journal of Accounting Research , : 146 – 153 .
   Google Scholar
• Kaplan , R. S. and Urwitz , G. 1979 . Statistical models of bond ratings: a methodological inquiry . Journal of Business , April : 231 – 261 .
   Google Scholar
• Kasznik , R. and Lev , B. 1995 . To warn or not to warn: management disclosures in the face of an earnings surprise . The Accounting Review , 70 : 113 – 134 .
   Web of Science ®Google Scholar
• Kennedy , P. 2003 . A Guide to Econometrics , 5th edn , Cambridge, MA : MIT Press .
   Google Scholar
• Kidwell , S. 1984 . Sec rule 415: the ultimate competitive bid . Journal of Financial and Quantitative Analysis , 19 June : 183 – 195 .
   Google Scholar
• Kim , J. B. 1997 . Institutional holdings and trading volume reactions to quarterly earnings announcements . Journal of Accounting Auditing and Finance , 12 ( 1 ) : 1 – 15 .
   Google Scholar
• Lanen , W. N. and Verrecchia , R. E. 1987 . Operating decisions and the disclosure of management accounting information . Journal of Accounting Research , 25 : 165 – 189 . Suppl.
   Google Scholar
• Lang , M. and Lundholm , R. 1993 . Cross-sectional determinants of analysts rating of corporate disclosures . Journal of Accounting Research , 31 : 246 – 271 .
   Web of Science ®Google Scholar
• Lang , M. and Lundholm , R. 1996 . Corporate disclosure policy and analyst behavior . The Accounting Review , 71 ( 4 ) : 467 – 492 .
   Web of Science ®Google Scholar
• Lang , M. and Lundholm , R. 2000 . Voluntary disclosure and equity offerings: reducing information asymmetry or hyping the stock? . Contemporary Accounting Research , 17 ( 4 ) : 623 – 662 .
   Google Scholar
• Larcker , D. and Rusticus , T. 2005 . “ On the use of instrumental variables in accounting research ” . University of Pennsylvania . Working Paper
   Google Scholar
• Leuz , C. and Verrecchia , R. 2000 . The economic consequences of increased disclosure . Journal of Accounting Research , 38 : 91 – 124 .
   Web of Science ®Google Scholar
• Leuz , C. and Verrecchia , R. 2005 . “ Firms' capital allocation choices, information quality, and the cost of capital ” . University of Pennsylvania . Working Paper
   Google Scholar
• Levitt , A. 1998 . “ ‘The numbers game’ remarks of Chairman Arthur Levit at the NYU Center for Law and Business ” . New York, NY Available at: www.sec.gov
   Google Scholar
• Lundholm , R. and Myers , L. 2002 . Bringing the future forward: the effect of disclosure on the returns–earnings relation . Journal of Accounting Research , 40 ( 3 ) : 809 – 839 .
   Web of Science ®Google Scholar
• Maddala , G. 2001 . Introduction to Econometrics , 3rd edn , New York : Wiley .
   Google Scholar
• Mak , Y. T. 1996 . Forecast disclosure by Initial Public Offering firms in a low-litigation environment . Journal of Accounting and Public Policy , 15 ( 2 ) : 111 – 136 .
   Google Scholar
• Mansi , S. 2004 . Does auditor quality and tenure matter to investors? Evidence from the bond market . Journal of Accounting Research , 42 ( 4 ) : 755 – 793 .
   Web of Science ®Google Scholar
• Marshall , A. 1961 . Principles of Economics , 9th Variorum edn , London : Macmillan .
   Google Scholar
• Merton , R. 1987 . A simple model of capital market equilibrium with incomplete information . Journal of Finance , 42 : 483 – 510 .
   Web of Science ®Google Scholar
• Miller , G. 2002 . Earnings performance and discretionary disclosure . Journal of Accounting Research , 40 ( 1 ) : 173 – 204 .
   Web of Science ®Google Scholar
• Mundlak , Y. 1961 . Empirical production function free of management bias . Journal of Farm Economics , 43 : 44 – 56 .
   Web of Science ®Google Scholar
• Mundlak , Y. 1978 . On pooling of time series and cross section data . Econometrica , 46 ( 1 ) : 69 – 85 .
   Web of Science ®Google Scholar
• Myers , S. C. and Majluf , N. S. 1984 . Corporate financing and investment decisions when firms have information that investors do not have . Journal of Financial Economics , 13 : 187 – 221 .
   Web of Science ®Google Scholar
• Nagar , V. 1999 . The role of the manager's human capital in discretionary disclosure . Journal of Accounting Research , 37 : 167 – 181 . Suppl.
   Google Scholar
• Richardson , A. and Welker , M. 2001 . Social disclosure, financial disclosure and the cost of equity capital . Accounting, Organization and Society , 26 : 597 – 616 .
   Web of Science ®Google Scholar
• Sargan , J. D. 1958 . The estimation of economic relationships using instrumental variables . Econometrica , 26 : 393 – 415 .
   Web of Science ®Google Scholar
• Sengupta , P. 1998 . Corporate disclosure quality and the cost of debt . The Accounting Review , 73 ( 4 ) : 459 – 474 .
   Web of Science ®Google Scholar
• Shehata , M. 1991 . Self-selection bias and the economic consequences of accounting regulation: an application of two-stage switching regression to SFAS No. 2 . The Accounting Review , 66 ( 4 ) : 768 – 787 .
   Web of Science ®Google Scholar
• Skinner , D. J. 1994 . Why firms voluntarily disclose bad news . Journal of Accounting Research , 32 : 38 – 60 .
   Web of Science ®Google Scholar
• Skinner , D. J. 1997 . Earnings disclosures and stockholder lawsuits . Journal of Accounting and Economics , 23 ( 3 ) : 249 – 282 .
   Web of Science ®Google Scholar
• Trueman , B. 1986 . Why do managers voluntarily release earnings forecasts? . Journal of Accounting and Economics , 8 : 53 – 72 .
   Web of Science ®Google Scholar
• Verrecchia , R. E. 1983 . Discretionary disclosure . Journal of Accounting and Economics , 5 : 179 – 195 .
   Web of Science ®Google Scholar
• Verrecchia , R. E. 2001 . Essays on disclosure . Journal of Accounting and Economics , 32 : 97 – 180 .
   Web of Science ®Google Scholar
• Wagenhofer , A. 1990 . Voluntary disclosure with a strategic opponent . Journal of Accounting and Economics , 12 ( 4 ) : 341 – 363 .
   Web of Science ®Google Scholar
• Walther , B. 1997 . Investor sophistication and market earnings expectations . Journal of Accounting Research , 35 ( 2 ) : 157 – 180 .
   Web of Science ®Google Scholar
• Welker , M. 1995 . Disclosure policy, information asymmetry and liquidity in equity markets . Contemporary Accounting Research , 11 : 801 – 828 .
   Google Scholar
• White , H. 1980 . A heteroscedasticity-consistent covariance matrix estimator and a direct test for heteroscedasticity . Econometrica , 48 : 817 – 838 .
   Web of Science ®Google Scholar
• Wooldridge , J. M. 2002 . Econometric Analysis of Cross Section and Panel Data , Edited by: Wooldridge , J. M. Cambridge, MA : MIT Press .
   Google Scholar
• Zhang , G. 2001 . Private information production, public disclosure, and the cost of capital: theory and implications . Contemporary Accounting Research , 18 ( 2 ) : 363 – 384 .
   Web of Science ®Google Scholar
• Zhou , X. 2001 . Understanding the determinants of managerial ownership and the link between ownership and performance: comment . Journal of Financial Economics , 62 : 559 – 571 .
   Web of Science ®Google Scholar
• Ziebart , D. and Reiter , S. 1992 . Bond ratings, bond yields and financial information . Contemporary Accounting Research , 9 ( 1 ) : 252 – 282 .
   Google Scholar