کیفیت اطلاعات حسابداری و ریسک اصولی Accounting information quality and systematic risk

1 Introduction Whether accounting information quality affects the cost of capital has been the central theme of a large and growing literature in accounting, economics, and finance. This literature provides considerable empirical evidence of a negative relation between the two constructs (Armstrong et al. 2013). However, the mechanism behind the relation has been a subject of intense debate (Beyer et al. 2010; Tang 2011). We contribute to the debate by investigating empirically whether and how accounting information quality is related to existing systematic risk factors (i.e., firm betas). In neoclassical theory, a firm’s cost of capital depends exclusively on exposure to systematic risk, i.e., systematic risk factors and risk premiums on these factors (Hughes et al. 2007; Armstrong et al. 2013). Thus, accounting information quality can affect the cost of capital in only three possible ways: First, accounting information quality constitutes an additional systematic risk factor that is distinct from other known such factors; second, accounting information quality itself is not a systematic risk factor but affects risk premiums on known such factors; and third, accounting information quality is somehow related to known systematic risk factors. Previous studies have closely examined the first two possibilities, producing completely contradictory insights. For example, Easley and O’hara (2004), Francis et al. (2005), and Bandyopadhyay et al. (2017) suggest that accounting information quality is a priced systematic risk factor. However, Core et al. (2008) show that accounting information quality represents idiosyncratic risk that can be completely diversified away. Hughes et al. (2007) argue that high accounting information quality decreases risk premiums on known systematic factors, but Veronesi (2000) demonstrates the opposite. Despite these deadlock situations involving the first two possibilities, the third one has received relatively little attention in academic research.