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Value creation with Dye’s disclosure option: optimal risk-shielding with an upper tailed disclosure strategy

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  • Adam Ostaszewski

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  • Miles Gietzmann

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Abstract

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Suggested Citation

  • Adam Ostaszewski & Miles Gietzmann, 2008. "Value creation with Dye’s disclosure option: optimal risk-shielding with an upper tailed disclosure strategy," Review of Quantitative Finance and Accounting, Springer, vol. 31(1), pages 1-27, July.
  • Handle: RePEc:kap:rqfnac:v:31:y:2008:i:1:p:1-27 DOI: 10.1007/s11156-007-0057-4
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    References listed on IDEAS

    as
    1. Bawa, Vijay S., 1975. "Optimal rules for ordering uncertain prospects," Journal of Financial Economics, Elsevier, vol. 2(1), pages 95-121, March.
    2. Harlow, W. V. & Rao, Ramesh K. S., 1989. "Asset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory and Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(03), pages 285-311, September.
    3. Tzur, Joseph & Yaari, Varda, 1999. "Microstructure of Firms' Disclosure," Review of Quantitative Finance and Accounting, Springer, vol. 13(4), pages 367-391, December.
    4. Hughes, J.S.John S. & Pae, Suil, 2004. "Voluntary disclosure of precision information," Journal of Accounting and Economics, Elsevier, vol. 37(2), pages 261-289, June.
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    More about this item

    Keywords

    Corporate disclosure; Put option; Optimal strike price; Risk-management; Omega function; D82;

    JEL classification:

    • D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design

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