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Disclosure Risk and Price Drift

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  • HYUN SONG SHIN
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    Abstract

    Disclosures play an apparently critical role in the empirical regularity of the short-run momentum and long-run reversal in stock returns. Motivated by this evidence, this paper integrates an analysis of disclosures within an asset pricing model to arrive at a framework in which disclosures and asset returns are jointly determined. Disclosures resolve uncertainty, but the increased information flow also raises the risks during the disclosure period. When disclosures and asset returns are modeled jointly, apparently good news is associated with the upward revision of future disclosure risks. The model generates predictions that have the outward appearance of short-run momentum and long-run reversal. Copyright University of Chicago on behalf of the Institute of Professional Accounting, 2006.

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    Bibliographic Info

    Article provided by Wiley Blackwell in its journal Journal of Accounting Research.

    Volume (Year): 44 (2006)
    Issue (Month): 2 (05)
    Pages: 351-379

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    Handle: RePEc:bla:joares:v:44:y:2006:i:2:p:351-379

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    Cited by:
    1. Beyer, Anne & Cohen, Daniel A. & Lys, Thomas Z. & Walther, Beverly R., 2010. "The financial reporting environment: Review of the recent literature," Journal of Accounting and Economics, Elsevier, vol. 50(2-3), pages 296-343, December.
    2. Acharya, Viral V & DeMarzo, Peter & Kremer, Ilan, 2011. "Endogenous Information Flows and the Clustering of Announcements," CEPR Discussion Papers 8680, C.E.P.R. Discussion Papers.

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