| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w16485 |
| 来源ID | Working Paper 16485 |
| Endogenous Information Flows and the Clustering of Announcements | |
| Viral V. Acharya; Peter M. DeMarzo; Ilan Kremer | |
| 发表日期 | 2010-10-21 |
| 出版年 | 2010 |
| 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 | Microeconomics ; Economics of Information ; Financial Economics ; Financial Markets ; Corporate Finance ; Other ; Accounting, Marketing, and Personnel |
| URL | https://www.nber.org/papers/w16485 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/574159 |
| 推荐引用方式 GB/T 7714 | Viral V. Acharya,Peter M. DeMarzo,Ilan Kremer. Endogenous Information Flows and the Clustering of Announcements. 2010. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w16485.pdf（383KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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