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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
  • Miles Gietzmann

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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. Dye, Ra, 1985. "Disclosure Of Nonproprietary Information," Journal of Accounting Research, Wiley Blackwell, vol. 23(1), pages 123-145.
    3. Jung, Wo & Kwon, Yk, 1988. "Disclosure When The Market Is Unsure Of Information Endowment Of Managers," Journal of Accounting Research, Wiley Blackwell, vol. 26(1), pages 146-153.
    4. 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(3), pages 285-311, September.
    5. Tzur, Joseph & Yaari, Varda, 1999. "Microstructure of Firms' Disclosure," Review of Quantitative Finance and Accounting, Springer, vol. 13(4), pages 367-391, December.
    6. 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.
    7. Stone, Bernell K, 1973. "A General Class of Three-Parameter Risk Measures," Journal of Finance, American Finance Association, vol. 28(3), pages 675-685, June.
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    Citations

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    Cited by:

    1. Sonin, Konstantin & Egorov, Georgy, 2014. "Incumbency Advantage in Non-Democracies," CEPR Discussion Papers 10178, C.E.P.R. Discussion Papers.
    2. Miles B. Gietzmann & Adam J. Ostaszewski, 2022. "The Kind of Silence: Managing a Reputation for Voluntary Disclosure in Financial Markets," Papers 2210.11315, arXiv.org, revised Mar 2023.
    3. Miles B. Gietzmann & Adam J. Ostaszewski, 2016. "The Sound of Silence: equilibrium filtering and optimal censoring in financial markets," Papers 1606.04039, arXiv.org.
    4. Miles Gietzmann & Adam Ostaszewski, 2014. "Multi-firm voluntary disclosures for correlated operations," Annals of Finance, Springer, vol. 10(1), pages 1-45, February.
    5. Miles Gietzmann & Adam Ostaszewski, 2014. "Why managers with low forecast precision select high disclosure intensity: an equilibrium analysis," Review of Quantitative Finance and Accounting, Springer, vol. 43(1), pages 121-153, July.

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    More about this item

    Keywords

    Corporate disclosure; Put option; Optimal strike price; Risk-management; Omega function; D82;
    All these keywords.

    JEL classification:

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

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