This paper offers in-depth analysis of the determinants and features of voluntary disclosure based on information in the annual reports of 1066 Chinese firms listed on the Shanghai and Shenzhen Stock Exchanges. This extensive sample represents about 80% of all public companies in China. Our...

The aim of this paper is to present the method for estimating the cost of capital of typical portfolios available on the Warsaw Stock Exchange. The authors introduce the three factor Fama-French model and its two modifications. They also apply the bootstrap method to evaluate the variability of...

China is the world's largest investor and greatest contributor to global economic growth by wide margins. The efficiency of its financial system in allocating capital to investment will be important to sustain this growth. This paper shows that China's stock market has a crucial role to play....

We provide the first large-scale study of the performance of expected-return proxies (ERPs) internationally. Analyst-forecast-based ICCs are sparsely populated and not robustly associated with future returns. Earnings-model-forecast-based ICCs are well-populated, but are unreliable outside the...

We seek evidence of a link between accruals-based earnings quality (EQ) and cost of capital by examining two classes of shares traded in China's segregated markets during 1995-2000. The A- and B-shares introduced respectively for domestic and foreign investors carry identical cash flow rights,...

To study the effect of the legal system on the cost of external financing, we examine the degree of underpricing of the IPOs by foreign companies listed in the U.S. We find that firms from highly corrupted countries have larger IPO underpricing. The quality of the home countries' public law...

This study examines whether the flow volatility experienced by institutional investors affects firms' financing costs. Using Greenwood and Thesmar's (2011) stock price fragility, a proxy for firm exposure to its institutional investors' flow volatility, we find that firms with high stock price...

We examine the relationship between stock extreme illiquidity and the implied cost of capital for firms from 45 countries. We document robust evidence that firms whose stocks have a greater potential for extreme illiquidity realizations suffer from higher cost of capital. A one standard...

This paper shows that, counter to common perception, stock prices in China are strongly linked to firm fundamentals. Since the reforms of the early 2000s, stock prices are as informative about future profits as they are in the US. Although the market is segmented from international equity...

We investigate the relative ability of two measures of the market implied cost of capital to predict aggregate equity market returns. One is Aggregate ICC, which is a weighted average of individual firms' ICC's. The other is ICC calculated using index information (Index ICC). Index ICC predicts...