Abstract
This dissertation uses economic modelling to explore the value of information disclosures to the firm and investors in capital markets. Specifically, two chapters investigate the interaction between manager’s decisions and the value of information to investors, while another two chapters examine how disclosures affect the risk sharing among heterogeneous investors.
The first chapter studies how manager’s information acquisition strategy affects the information content of management forecast and shows that the manager’s private forward looking information would lead to informative management forecasts and forecast errors only when there is a positive relation between firm performance and manager’s forecasting ability. The second chapter investigates the impact of corporate social responsibility (CSR) reporting on the firm's CSR investment decision and demonstrates that disclosing either the firm’s contribution to the externalities from CSR investment or the cost of CSR investment can discipline the manager’s CSR investment policy, but disclosing two pieces of information together cannot further improve the investment efficiency.
The third chapter analyses how disclosure format affects the risk sharing among informed and uninformed investors and proves that separating multiple pieces of information and disclosing each piece of information at a different time can achieve efficient risk allocation among investors and thus lower the firm’s cost of capital. The fourth chapter examines the heterogeneous investment horizons of investors and suggests that long-horizon investors perform short-term trading to share the first period stock price risk with short-horizon investors. This lowers the risk premium in the stock price. Moreover, such short-term trading increases with the firm’s guidance on the short-term cash flow while decreases with the guidance on the long-term cash flow.
The first chapter studies how manager’s information acquisition strategy affects the information content of management forecast and shows that the manager’s private forward looking information would lead to informative management forecasts and forecast errors only when there is a positive relation between firm performance and manager’s forecasting ability. The second chapter investigates the impact of corporate social responsibility (CSR) reporting on the firm's CSR investment decision and demonstrates that disclosing either the firm’s contribution to the externalities from CSR investment or the cost of CSR investment can discipline the manager’s CSR investment policy, but disclosing two pieces of information together cannot further improve the investment efficiency.
The third chapter analyses how disclosure format affects the risk sharing among informed and uninformed investors and proves that separating multiple pieces of information and disclosing each piece of information at a different time can achieve efficient risk allocation among investors and thus lower the firm’s cost of capital. The fourth chapter examines the heterogeneous investment horizons of investors and suggests that long-horizon investors perform short-term trading to share the first period stock price risk with short-horizon investors. This lowers the risk premium in the stock price. Moreover, such short-term trading increases with the firm’s guidance on the short-term cash flow while decreases with the guidance on the long-term cash flow.
| Original language | English |
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| Qualification | Doctor of Philosophy |
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| Supervisors/Advisors |
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| Award date | 22 Jun 2016 |
| Place of Publication | Tilburg |
| Publisher | |
| Print ISBNs | 978 90 5668 477 8 |
| Publication status | Published - 2016 |