We show that information complementarities play an important role in the spillover of transparency shocks. We exploit the revelation of financial misconduct by S&P 500 firms, and in a “Stacked Difference-in-Differences” design, find that the implied cost of capital increases for “close” industry peers of the fraudulent firms relative to “distant” industry peers. The spillover effect is particularly strong when the close peers and the fraudulent firm share common analyst coverage and common institutional ownership, which have been shown to be powerful proxies for fundamental linkages and information complementarities. We provide evidence that increase in the cost of capital of peer firms is due, at least in part, to “beta shocks.” Disclosure by close peers—especially those with co-coverage and co-ownership links—also increases following fraud revelation. Although disclosure remains high in the following years, the cost of equity starts to decrease.

中文翻译：

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信息互补性和透明度冲击溢出的动态

我们表明，信息互补性在透明度冲击的溢出效应中发挥着重要作用。我们利用标准普尔 500 强企业披露的财务不当行为，并在“叠加差分”设计中发现，相对于“疏远”行业同行，欺诈企业“接近”行业同行的隐含资本成本增加。当关系密切的同行和欺诈公司拥有共同的分析师覆盖范围和共同的机构所有权时，溢出效应尤其强烈，这已被证明是基本联系和信息互补性的有力代表。我们提供的证据表明，同行公司资本成本的增加至少部分是由于“贝塔冲击”造成的。欺诈行为曝光后，关系密切的同行（尤其是具有共同报道和共同所有权链接的同行）的披露也会增加。尽管接下来几年的披露仍然很高，但股权成本开始下降。