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Disclosures and asset returns

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  • Shin, Hyun Song

Abstract

Public information to 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, market prices observed in equilibrium can be given a simple characterization that relies only on the fact value of the announcement. Also, this characterisation predicts that the return variance following a bed outcome is higher than it would have been if he outcome were good. When investors are risk averse, this leads to negative serial correlation of asset returns.

Suggested Citation

  • Shin, Hyun Song, 2001. "Disclosures and asset returns," LSE Research Online Documents on Economics 25044, London School of Economics and Political Science, LSE Library.
    • Handle: RePEc:ehl:lserod:25044
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    File URL: http://eprints.lse.ac.uk/25044/
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    References listed on IDEAS

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    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • C00 - Mathematical and Quantitative Methods - - General - - - General

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