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Acharya, Viral V.,
Peter DeMarzo, and
Ilan Kremer. 2011. "Endogenous Information Flows and the Clustering of Announcements."
,
101(7): 2955-79.
Show Article Details
DOI: 10.1257/aer.101.7.2955
Abstract:We consider the strategic timing of information releases in a dynamic disclosure model. Because investors don't know whether or when the firm is informed, the firm will not necessarily disclose immediately. We show that bad market news can trigger the immediate release of information by firms. Conversely, good market news slows the
release of information by firms. Thus, our model generates clustering of negative announcements. Surprisingly, this result holds only when firms can preemptively disclose their own information prior to the arrival of external information. These results have implications for conditional variance and skewness of stock returns. (JEL D21, D83, G12, G14, L11)
Authors:
Acharya, Viral V. (NYU)
DeMarzo, Peter (Stanford U)
Kremer, Ilan (Stanford U)
JEL Classifications:
D21: Firm Behavior: Theory
D83: Search; Learning; Information and Knowledge; Communication; Belief
G12: Asset Pricing; Trading volume; Bond Interest Rates
G14: Information and Market Efficiency; Event Studies
L11: Production, Pricing, and Market Structure; Size Distribution of Firms
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