Endogenous information flows and the clustering of announcements / Viral V. Acharya, Peter M. DeMarzo, Ilan Kremer Acharya, Viral V

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Author
Acharya, Viral V
Appears In
American Economic Review
Subjects
Disclosure in accounting - Econometric models.; Stock markets -- Research; Disclosure of information -- Research
Audience
Academic
Summary
"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"--National Bureau of Economic Research web site.
Bookmark
http://trove.nla.gov.au/work/3250311
Work ID
3250311

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e.g. test cricket, Perth (WA), "Parkes, Henry"

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