Abstract: Corporate perception of uncertainty is the information disclosure made by enterprises after they perceive the economic policies uncertainty they face. Economic policy is the guiding principle and measures formulated by the government to solve economic problems in order to increase the country's economic welfare, and provide an external environment and rules of the game for enterprises to carry out the production and business activities. The existing literature on economic policy uncertainty measures economic policy uncertainty more from the macro level, ignoring the heterogeneity of economic policy uncertainty faced by enterprises. The study of economic policy uncertainty generally focuses on the impact of economic policy uncertainty on corporate behavior decisions, and has not yet delved into the investors' decision-making. As one of the core concepts of corporate finance and capital market, the cost of equity capital is the basis for enterprises to make investment and financing decisions, protect shareholders' rights and choose dividend policies, and is also a “barometer” of investors' interests, which reflects the economic results of investors' investment decisions. Therefore, the research on the impact of enterprise uncertainty perception on cost of equity capital can help to clarify the differential impact of the implementation of economic policies on different micro-subjects, to increase the policy targeting of different micro-subjects, and improve the compatibility between policy objectives and implementation effects.
This paper constructs a heterogeneous investor investment decision model to illustrate the mechanism of corporate perception of uncertainty perception affecting cost of equity capital, and proposes two hypotheses. The first one is that the disclosure of enterprise uncertainty perception will increase, which will lead to an increase in the cost of equity capital. The second one is that the disclosure of enterprise uncertainty perception can affect the cost of equity capital through four ways: information risk, information cost, predictability of future earnings and heterogeneity of the senior management team. Taking listed companies from 2000 to 2021 as a sample, this paper uses financial data and equity structure information from CSMAR database, uses textual analysis to extract a measure of the economic policy uncertainty perceived by individual firms from the “management analysis and discussion” of the company's annual report in CNRDS database, and empirically analyzes the impact of corporate uncertainty perception on equity capital cost. It investigates the mechanism of enterprise uncertainty perception on equity capital cost, by using the probability of informed trading to measure information risk, adverse selection cost to measure information cost, optimism in analysts' earnings forecasts to measure the predictability of future earnings of enterprises, and the heterogeneity of the company's senior management team to characterize the quality of prior information.
The results show that corporate uncertainty perception leads to an increase in the cost of equity capital. Channel analysis shows that corporate uncertainty perception can affect the cost of equity capital through the four major ways: information risk, information cost, predictability of future benefits and heterogeneity of senior management teams. In the expansive analysis, it is found that the tone of corporate management and social responsibility commitment can play a role in regulating the relationship of uncertainty perception and the cost of equity capital, and when enterprises perceive the increase in economic policy uncertainty, they will significantly reduce diversified operations. This helps to reduce the forward cost of equity capital.

Key words: corporate perception of uncertainty, cost of equity capital, economic policy uncertainty, information disclosure

摘要： 既有文献较少从投资者角度关注企业层面的经济政策不确定性信息披露的经济后果。本文基于中国上市公司年报“管理层分析与讨论”的文本分析,构建衡量企业感知经济政策不确定性的指数,并通过设立一个异质性投资者投资决策模型阐释企业不确定性感知的披露如何影响权益资本成本。实证结果发现,企业不确定性感知的披露导致权益资本成本上升。渠道分析表明,企业不确定性感知的披露可以通过信息风险、信息成本、未来收益可预测性和高管团队异质性四大途径影响企业权益资本成本的高低。在拓展性分析中,发现企业管理层语调和社会责任承担可以发挥调节企业不确定性感知与权益资本成本关系的作用,企业感知经济政策不确定性增加时,会显著减少多元化经营,进而有利于降低远期的权益资本成本。

关键词: 企业不确定性感知, 权益资本成本, 经济政策不确定性, 信息披露