סמינר במימון חשבונאות

Shai Levi ,TAU

Abstract:

Firms often refrain from disclosing negative information, and as a result it is harder for investors to obtain negative information on firms than positive information. Consistent with the conjecture that investors possess less negative information than positive information, we find that negative daily stock returns contain, on average, more noise and less information than positive daily stock returns, or in other words that the precision of information is lower in negative returns than in positive returns. On news days, the difference between the precision of information in negative and positive returns decreases. The difference between the precision of negative and positive information in returns is smaller for larger firms, higher liquidity firms, and for firms that voluntarily disclose information during the quarter. Testing the consequences of the lower precision of negative information, we find that it is associated with higher cost of debt, and insignificantly associated with the cost of equity. Together, these findings suggest that investors possess less precise negative information on firms than positive information especially on non-news days, and that the lower precision of negative information is more relevant for the pricing of debt than of equity.