国际区别在权益资本费用：法律机关是否和证券章程事关？(1)

InternationalDifferencesintheCostofEquityCapital:DoLegalInstitutionsandSecuritiesRegulationMatter?*LuziHailInstituteforAccountingandControlUniversityofZurichandChristianLeuzTheWhartonSchoolUniversityofPennsylvaniaNovember2003AbstractThispaperexaminesinternationaldifferencesinfirms’costofequitycapitalacross40countries.Weanalyzewhethertheeffectivenessofacountry’slegalinstitutionsandsecuritiesregulationissystematicallyrelatedtocross-countrydifferencesinthecostofequitycapital.Weemployfourdifferentmodelsusinganalystforecaststoestimatefirms’impliedcostofcapital.Wefindthatcountrieswithextensivesecuritiesregulationandstrongenforcementmechanismsexhibitlowerlevelsofcostofcapitalthancountrieswithweaklegalinstitutions,evenaftercontrollingforvariousriskandcountryfactors.Theeffectsarestrongestforinstitutionsprovidinginformationtoinvestorsandenablingthemtoprivatelyenforcetheircontracts.Wealsoshowthat,consistentwiththeory,theseeffectsbecomesubstantiallysmallerorinsignificantascapitalmarketsbecomemoreintegrated.JELclassification:G14,G15,G38,G30,K22,M41KeyWords:Internationalfinance,Costofequity,Disclosure,Legalsystem,Lawandfinance*WethankYakovAmihud,RayBall,GauriBhat,WayneGuay,Ole-KristianHope,BobHolthausen,RafaelLaPorta,DavidLarcker,FelixOberholzer,ShivaRajgopal,TerryShevlin,SurjitTinaikar,JoeWeber,PeterWysocki,StephenYoungandworkshopparticipantsatHarvardBusinessSchool,RutgersUniversity,SingaporeManagementUniversity,UniversityofChicagoandUniversityofWashingtonforhelpfulcommentsonearlierdrafts.WealsothankBryanChao,NickVedderandIanWeiliangfortheirresearchassistance.LuziHailacknowledgesthefinancialsupportbytheCommissionfortheAdvancementofYoungScientistsandScholarsoftheUniversityofZurich.AnalystforecastdatahasbeengenerouslyprovidedbyI/B/E/S(ThomsonFinancial).InternationalDifferencesintheCostofEquityCapital:DoLegalInstitutionsandSecuritiesRegulationMatter?AbstractThispaperexaminesinternationaldifferencesinfirms’costofequitycapitalacross40countries.Weanalyzewhethertheeffectivenessofacountry’slegalinstitutionsandsecuritiesregulationissystematicallyrelatedtocross-countrydifferencesinthecostofequitycapital.Weemployfourdifferentmodelsusinganalystforecaststoestimatefirms’impliedcostofcapital.Wefindthatcountrieswithextensivesecuritiesregulationandstrongenforcementmechanismsexhibitlowerlevelsofcostofcapitalthancountrieswithweaklegalinstitutions,evenaftercontrollingforvariousriskandcountryfactors.Theeffectsarestrongestforinstitutionsprovidinginformationtoinvestorsandenablingthemtoprivatelyenforcetheircontracts.Wealsoshowthat,consistentwiththeory,theseeffectsbecomesubstantiallysmallerorinsignificantascapitalmarketsbecomemoreintegrated.JELclassification:G14,G15,G38,G30,K22,M41KeyWords:Internationalfinance,Costofequity,Disclosure,Legalsystem,Lawandfinance11.IntroductionInthispaper,weexamineinternationalcostofequitycapitaldifferencesacross40countries.Recentresearchsuggeststhatcountries’legalinstitutionsareakeydeterminantoffinancialmarketdevelopment,capitalandownershipstructures,dividendpolicies,andfirms’equityvaluations(e.g.,LaPortaetal,1997,2000aand2002).Basedonthisevidence,weinvestigatewhethertheeffectivenessofacountry’slegalinstitutionshasasystematicinfluenceonitsfirms’costofequitycapital,overandabovetraditionalriskandcountryfactors.Well-functioninglegalsystemsprotectinvestors;theyconferrightsoninvestors,e.g.,toreceiveinformation,andenforcefinancialcontracts.Asaresult,effectivelegalinstitutionsreducemonitoringandenforcementcoststoinvestors,whichmayinturnreducetheexpectedrateofreturnthatinvestorsdemandfortheircapital.Priorstudiessuggestthateffectivelegalinstitutionsincreasefirms’equityvaluations(e.g.,LaPortaetal.,2002).However,theseresultsmayreflecttheeffectsoflegalsystemsonfirms’cashflows,forinstance,byreducingexpropriationorexpandinggrowthopportunities,ratherthantheeffectsontheriskpremiumdemandedbyinvestors.Thus,itisstillanopenquestionwhetherthequalityoflegalinstitutionsmanifestsinsystematicdifferencesinfirms’costofcapital.Moreover,ascapitalmarketsaroundtheworldbecomemoreintegrated,country-specificfactorsmaylosetheirimportanceforfirms’costofcapital(e.g.,Harvey,1991;BekaertandHarvey,1995).Toexploretheseissuesandtoshedsomelightonthemechanismthroughwhichlegalinstitutionsaffectvaluations,weexaminewhetherdifferencesincountries’securitiesregulation,i.e.,disclosurerulesandenforcement,explaininternationaldifferencesincostofcapital.Wefocusonsecuritiesregulationrequiringdisclosuresbecauseitisoftenjustifiedwiththeargumentthatitreducesfirms’costofcapital(e.g.,Levitt,1998).Economictheorysuggeststhat2afirm’scommitmenttodisclosurereducesinformationasymmetriesbetweenthefirmanditsinvestorsandamonginvestors(seeVerrecchia,2001,forasurvey).However,itisunclearwhetherthereductionininformationasymmetryalsolowersthefirm’scostofcapital.Aneffectonthecostofcapitalrequiresthatdifferencesindisclosureleadtodifferencesinnon-diversifiablerisk.ArecentpaperbyEasleyandO’Hara(2002)providessupportforthisnotion.Empiricalevidenceatthefirmlevelalsosuggeststhatfirmsprovidingmor