تحلیل اکتشافی دلایل واگرایی رابطه عدم تقارن اطلاعاتی و هزینه سرمایه سهام: رویکرد فراتحلیلی (مقاله پژوهشی دانشگاه آزاد)
درجه علمی: علمی-پژوهشی (دانشگاه آزاد)
آرشیو
چکیده
اهداف: مطالعات تجربی متعددی رابطه عدم تقارن اطلاعاتی و هزینه سرمایه سهام را آزموده و نتایج متناقضی گزارش کرده اند. برخی مطالعات این رابطه را مثبت، برخی منفی و برخی آن را غیرمعنی دار ارزیابی می کنند. کشف عوامل واگرایی جایگاه مؤثری در مدیریت عدم تقارن اطلاعاتی، هزینه سرمایه سهام و ثروت سهام دار دارد. در این پژوهش این موضوع بارویکرد فراتحلیل دنبال می شود. روش: فراتحلیل این پژوهش در هفت مرحله اجرا شد. برای این فراتحلیل 36 مطالعه منتشرشده بین سال های 1986 تا 2022 از نشریات با شاخص H حداقل برابر 1 پایگاه اسکوپوس استفاده شد. تعداد نمونه پژوهش 260 آزمون است که از مطالعات مذکور استخراج شده است. با استفاده از نرم افزار سی ام ای 2 و آزمون های میانگین تک نمونه با رویکرد اثرات تصادفی و آزمون واگرایی علاوه بر آزمون 12 فرضیه نیرومندی نتایج براساس 18 طبقه تحلیل و 15 طبقه آن تأیید شد. نتایج: نتایج نشان داد عدم تقارن اطلاعاتی بر هزینه سرمایه سهام تأثیر دارد. به جز متغیرهای کیفیت تحلیل گران و نوسان درآمد، همه ابعاد عدم تقارن اطلاعاتی بر هزینه سرمایه سهام تأثیر دارند. به علاوه عدم تقارن اطلاعاتی بر همه ابعاد هزینه سرمایه سهام تأثیر مثبت دارد.Exploratory Analysis of the Heterogeneity in the Relationship between Information Asymmetry and the Cost of Equity Capital: A Meta-Analytic Approach
Several empirical studies have tested the relationship between information asymmetry and the cost of equity capital and have reported conflicting results. Some studies evaluate this relationship as positive, some as negative, and some as insignificant. The discovery of divergence factors has an effective role in managing information asymmetry, the cost of equity capital, and shareholder wealth. In this study, this issue is followed by the meta-analysis approach. This meta-analysis was carried out in seven stages. For this meta-analysis, 36 studies published between 1986 and 2022 from journals with an H index at least equal to 1 of SCOPUS were used. The number of samples is 260 tests which were extracted from the mentioned studies. Using CME2 software, divergence test, and one-sample t-test with random effects approach in addition to testing 12 hypotheses, the robustness check of the results was tested based on 18 categories of analysis, of which 15 categories confirmed the robustness. The results showed that information asymmetry affects the cost of equity capital. All dimensions of information asymmetry affect the cost of equity capital, except analysts’ quality and income volatility. In addition, information asymmetry has a positive effect on all dimensions of the cost of equity capital.
Keywords: Information Asymmetry, Cost of Capital, Meta-Analysis, Divergence, Effect Size.
Introduction
The contribution of this study is to discover the reasons for the conflict in empirical studies using meta-analysis. Information asymmetry exposes shareholders to risk and therefore demands higher returns. Companies can reduce the cost of equity capital by reducing information asymmetry. Some theoretical and experimental studies regarding the relationship between information asymmetry and the cost of equity capital have reported this relationship as positive, some negative, and some non-significant. The purpose of this study is to meta-analyze the effect of information asymmetry on the cost of equity capital to clarify the divergence of empirical studies and its reasons. Hypothesis 1 is about the relationship between information asymmetry and the cost of equity capital. To check the robustness, this hypothesis was tested in different conditions. The next eleven hypotheses are related to the influence of the dimensions of the cost of equity capital on information asymmetry and the impact of the dimensions of information asymmetry on the cost of equity capital.
Method and Data
This meta-analysis was performed in seven stages. In the first stage, as the research problem, the independent variable is information asymmetry and the dependent variable is the cost of equity capital. In the second stage, after determining keywords and databases, 188 empirical studies were downloaded. In the third stage, the studies of the previous stage were screened based on three criteria: 1) the subject of the study should be in accordance with hypothesis 1 of this meta-analysis, 2) the information related to effect size calculation should be reported in the paper, and 3) the study analysis method should be correlational. After the screening, 36 studies published between 1986 and 2022 including 260 tests (the statistical sample of this meta-analysis) were meta-analyzed. In the fourth stage the general data, the data related to effect sizes, and the data for robustness check were extracted. In the fifth stage, the effect size was calculated for each of the samples, and in the sixth stage, the cumulative effect size was calculated for each hypothesis. To test each hypothesis, z-statistic, and a significance level were obtained for each cumulative effect size, which shows the significance of the difference between the cumulative effect size and zero. In the seventh step, the homogeneity of the effect sizes was tested for each hypothesis. For hypotheses with heterogeneous/homogeneous effect sizes, the cumulative effect size was calculated with the fixed/random effects model. Finally, in the eighth stage, the divergence reasons were explored.
Findings
The results related to the first hypothesis test are reported in Table 1.
Table (1). The results of hypothesis 1; The effect of information asymmetry on the cost of equity capital
Model
Cumulative effect size
One-sample t-test
Homogeneity test
Z statistic
P-value
Q statistic
P-value
Fixed effects
0.004
17.08
0.000
6373
0.000
Random effects
0.021
12.58
0.000
In the test of all hypotheses, the random effects model was used to calculate the cumulative effect size. In hypothesis 1, at the 1% significance level, the null hypothesis of the test is rejected, which means that the cumulative effect size is significantly different from zero. Hypothesis 1 is robust in most of the robustness tests. The test results of hypotheses 2 to 9 are reported in Table 2.
Table (2) Test Results of Sub-hypotheses (Dependent variable of the cost of equity capital)
Independent variable
Cumulative effect size
One-sample t-test
Homogeneity test
Z statistic
P-value
Q statistic
P-value
Analysts` quality
0.043
1.555
0.120
22.246
0.000
Disclosure
0.017**
1.833
0.067
177.720
0.000
Accruals
0.007***
2.826
0.004
7720.056
0.000
Liquidity
0.089***
4.725
0.000
307.206
0.000
PIN
0.015***
7.852
0.000
1802.694
0.000
Bid-ask spread
0.020***
7.362
0.000
1090.235
0.000
Transparency
0.023***
3.665
0.000
1180.044
0.000
Income volatility
0.087
0.520
0.603
5663.344
0.000
According to the results in Table 2, the null hypothesis is rejected in all hypotheses except for the independent variables of analysts’ quality and income volatility, and the common effect size is significantly different from zero; that is, apart from the quality of analysts and the income volatility, other independent variables have a significant effect on the cost of equity capital. The test results of hypotheses 10 to 12 are reported in Table 3.
Table 3. The results of the Sub-hypotheses test (Independent variable of information asymmetry)
Dependent variable
Cumulative effect size
One-sample t-test
Homogeneity test
Z statistic
P-value
Q statistic
P-value
CAPM required return
0.07***
9.138
0.000
2994.169
0.000
Implied equity cost of capital
0.020***
2.717
0.007
756.205
0.000
Historical return
0.008***
5.792
0.000
1979.782
0.000
According to the results in Table 3, information asymmetry has a significant and positive effect on all three dimensions of the cost of equity capital (CAPM expected return, implied cost of capital, and historical return).
Conclusion and discussion
The cost of equity capital is particularly important because of its role in shareholder wealth. For this reason, managers try to reduce it as much as possible. One of the ways to reduce capital cost is to reduce information asymmetry. The breadth of literature indicates conflicting results regarding the relationship between information asymmetry and the cost of equity capital. The general relationship between the cost of equity capital and information asymmetry is positive and significant. In other words, the less information is transferred to the market (that is, the difference of information between managers and the market or the information difference between two shareholders), the risk causes the market to increase the discount rate used in stock valuation and the intrinsic value, and finally, the shareholder's wealth will decrease below the optimal value. To check the robustness of hypothesis 1, this hypothesis was tested in different conditions of number of observations, length of period, presence or absence of control variable, publication year, and H index in different studies and it was found that the change in these conditions does not affect the results of the meta-anlaysis and the result of hypothesis 1 is robust. According to past empirical studies, different criteria for measuring information asymmetry and the cost of equity capital are the reasons for the conflicting results. In the test of these relationships, the results showed that except for the analysts’ quality and income volatility, other dimensions of information asymmetry have a positive effect on the cost of equity capital, and information asymmetry has a significant and positive effect on various dimensions of the cost of equity capital.
This study is limited to the publication years 1986 to 2022. The dimensions of information asymmetry and the cost of equity capital are limited to the indicators that have been used in previous empirical studies. Future authors are suggested to test the results of this study with an experimental approach, to analyze the reason for the lack of influence of analysts’ quality and income volatility on the cost of equity capital, and the reason for the non-significant relationship between the cost of equity capital and information asymmetry in the years 1981 to 2000, and finally compare the results of this studt in developing and developed countries.
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