| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8680 |
| DP8680 Endogenous Information Flows and the Clustering of Announcements | |
| Peter DeMarzo; Viral Acharya; Ilan Kremer | |
| 发表日期 | 2011-12-01 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | We consider the strategic timing of information releases in a dynamic disclosure model. Because investors don?t know whether or when the firm is informed, the firm will not necessarily disclose immediately. We show that bad market news can trigger the immediate release of information by firms. Conversely, good market news slows the release of information by firms. Thus, our model generates clustering of negative announcements. Surprisingly, this result holds only when firms can preemptively disclose their own information prior to the arrival of external information. These results have implications for conditional variance and skewness of stock returns. |
| 主题 | Financial Economics |
| 关键词 | Disclosure Disclosure dynamics Strategic disclosure Disclosure timing Earnings announcement stochastic volatility Skewness |
| URL | https://cepr.org/publications/dp8680 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537517 |
| 推荐引用方式 GB/T 7714 | Peter DeMarzo,Viral Acharya,Ilan Kremer. DP8680 Endogenous Information Flows and the Clustering of Announcements. 2011. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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