A Simple Structural Estimator of Disclosure Costs

Forthcoming at Review of Accounting Studies

44 Pages Posted: 1 Nov 2016 Last revised: 22 Feb 2019

See all articles by Edwige Cheynel

Edwige Cheynel

University of California, San Diego (UCSD) - Rady School of Management

Michelle Liu

CUNY Hunter College

Date Written: January 8, 2019

Abstract

This study recovers a simple firm-level measure of disclosure costs implied by the voluntary disclosure theory of Verrecchia (1990). The measure does not require a-priori knowledge by the researcher of the distribution of private information and can be implemented with three simple observable inputs: the minimum, average and frequency of disclosure. We document a positive association of disclosure costs with proxies for existing and potential competition, information asymmetry and insider trading. Higher values of disclosure costs are associated with lower contemporaneous and future disclosures, as well as lower propensity to disclose in holdout samples. Overall, we provide future researchers with an easy-to-implement procedure to structurally estimate unobserved firm-level disclosure costs.

Keywords: Voluntary Disclosures; Structural Estimation; Costly Disclosures

Suggested Citation

Cheynel, Edwige and Liu, Michelle, A Simple Structural Estimator of Disclosure Costs (January 8, 2019). Forthcoming at Review of Accounting Studies. Available at SSRN: https://ssrn.com/abstract=2862119 or http://dx.doi.org/10.2139/ssrn.2862119

Edwige Cheynel (Contact Author)

University of California, San Diego (UCSD) - Rady School of Management ( email )

Michelle Liu

CUNY Hunter College ( email )

695 Park Avenue
New York, NY 10065
United States

Register to save articles to
your library

Register

Paper statistics

Downloads
159
rank
183,195
Abstract Views
703
PlumX Metrics