| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w28348 |
| 来源ID | Working 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 |
| URL | https://www.nber.org/papers/w28348 |
| 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/586019 |
| 推荐引用方式 GB/T 7714 | Kerry Back,Bruce I. Carlin,Seyed Mohammad Kazempour. The Asset Pricing Implications of Plausible Deniability. 2021. |
| 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 | ||
| w28348.pdf（551KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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