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Endogeneity and the Dynamics of Voluntary
Disclosure Quality: Is There Really an Effect on
the Cost of Equity Capital?∗
Florian Eugster†
August 19, 2018
Abstract
Research on the effects of voluntary disclosure quality on the cost of equity
capital is often plagued by endogeneity concerns. I use a dynamic panel
system GMM estimator to minimize these concerns by incorporating the dynamic
nature of voluntary disclosure choices. The dynamic panel system GMM
approach provides internal instruments from the firm’s history that directly
address endogeneity arising from unobserved heterogeneity and simultaneity.
By using hand-collected voluntary disclosure scores, I examine the dynamic relation
between voluntary disclosure quality and the cost of equity capital in a
panel over 10 years. My results suggest that the empirical relation between voluntary
disclosure quality and the cost of equity capital becomes insignificant
after controlling adequately for potential dynamic endogeneity, simultaneity,
and unobserved heterogeneity. This result is robust to an extension to the U.S.
market.

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