The link between cost of capital and information risk is one of the most fundamental and controversial issues in financial accounting. We need an exogenous shock to unequivocally tease out the link between information risk and cost of capital (CoC). In this study, we consider a firm’s listing with the S&P 500 index as the exogenous shock. Listing with the index is expected to bring the firm into the limelight, leading to increased scrutiny of the firm and its management performance by market participants and stock analysts. This may expose the firm to increased information risk, which may adversely affect its cost of capital in the short run. Empirical evidence in this study suggests firms that are added to the S&P 500 index exhibit higher cost of capital over the first year after inclusion compared to a carefully constructed matched sample of non-S&P 500 stocks. Results also indicate that the volume of information released and precision of information once a firm is listed with the index significantly impact its cost of capital.

资本成本与信息风险之间的联系是财务会计中最基本和最具争议的问题之一。我们需要外生冲击来明确梳理信息风险和资本成本 (CoC) 之间的联系。在本研究中，我们将一家公司在标准普尔 500 指数中的上市视为外生冲击。预计该指数上市将使公司成为众人瞩目的焦点，从而导致市场参与者和股票分析师对公司及其管理业绩的审查更加严格。这可能会使公司面临增加的信息风险，这可能在短期内对其资本成本产生不利影响。本研究中的经验证据表明，被纳入标准与 与精心构建的非标普 500 股票匹配样本相比，普 500 指数在纳入后的第一年表现出更高的资本成本。结果还表明，一旦公司在该指数中上市，发布的信息量和信息的准确性会显着影响其资本成本。