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Disclosures and Asset Returns

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Author Info
Hyun Song Shin () (London School of Economics, United Kingdom)
Abstract

Public information in financial markets often arrives through the disclosures of interested parties who have a material interest in the reactions of the market to the new information. When the strategic interaction between the sender and the receiver is formalized as a disclosure game with verifiable reports, equilibrium prices can be given a simple characterization in terms of the concatenation of binomial pricing trees. There are a number of empirical implications. The theory predicts that the return variance following a poor disclosed outcome is higher than it would have been if the disclosed outcome were good. Also, when investors are risk averse, this leads to negative serial correlation of asset returns. Other points of contact with the empirical literature are discussed. Copyright The Econometric Society 2003.

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Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 71 (2003)
Issue (Month): 1 (January)
Pages: 105-133
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Handle: RePEc:ecm:emetrp:v:71:y:2003:i:1:p:105-133

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  1. Rick Harbaugh & John W. Maxwell & Beatrice Roussillon, 2006. "The Groucho Effect of Uncertain Standards," Working Papers 2006-09, Indiana University, Kelley School of Business, Department of Business Economics and Public Policy. [Downloadable!]
  2. Hans Gersbach & Jan Wenzelburger, 2004. "Do Risk Premia Protect from Banking Crises," Levine's Bibliography 122247000000000356, UCLA Department of Economics. [Downloadable!]
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  3. Marcelo Pinheiro, 2008. "Demand shocks and market manipulation," Annals of Finance, Springer, vol. 4(3), pages 269-298, July. [Downloadable!] (restricted)
  4. Fabrice Hervé, 2006. "Les fonds de pension protègent-ils les investisseurs des évolutions du marché?," Working Papers FARGO 1060101, Université de Bourgogne - Latec/Fargo (Research center in Finance,organizational ARchitecture and GOvernance). [Downloadable!]
  5. Matthias Dahm & Nicolás Porteiro, 2006. "Informational Lobbying under the Shadow of Political Pressure," Working Papers 06.14, Universidad Pablo de Olavide, Department of Economics. [Downloadable!]
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  6. Acharya, Viral V & DeMarzo, Peter & Kremer, Ilan, 2008. "Endogenous Information Flows and the Clustering of Announcements," CEPR Discussion Papers 6985, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  7. Thomas P. Lyon & John W. Maxwell, 2006. "Greenwash: Corporate Environmental Disclosure under Threat of Audit," Working Papers 2006-07, Indiana University, Kelley School of Business, Department of Business Economics and Public Policy. [Downloadable!]
  8. Faidon Kalfaoglou & Alexandros Sarris, 2006. "Modeling the Components of Market Discipline," Working Papers 36, Bank of Greece. [Downloadable!]
  9. Paul Milgrom, 2007. "What the Seller Won’t Tell You: Persuasion and Disclosure in Markets," Levine's Bibliography 843644000000000045, UCLA Department of Economics. [Downloadable!]
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