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来源类型Working Paper
规范类型报告
DOI10.3386/w28348
来源IDWorking Paper 28348
The Asset Pricing Implications of Plausible Deniability
Kerry Back; Bruce I. Carlin; Seyed Mohammad Kazempour
发表日期2021-01-18
出版年2021
语种英语
摘要We derive the effect of plausible deniability on asset risk premia in a dynamic setting with correlated firm values, systematic risk, and risk-averse investors. Firms optimally exercise American disclosure options, which are more valuable due to the possibility that other correlated firms may disclose high values, lifting investors' perceptions of the values of nondisclosing firms. Risk premia rise (and average prices fall) prior to disclosures, because investors make inferences about aggregate risks from failures to disclose, resulting in higher state prices for bad states.
主题Microeconomics ; Households and Firms ; Economics of Information ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets
URLhttps://www.nber.org/papers/w28348
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/586019
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Kerry Back,Bruce I. Carlin,Seyed Mohammad Kazempour. The Asset Pricing Implications of Plausible Deniability. 2021.
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