American Disclosure Options

Kerry Back, Bruce I. Carlin, Seyed Mohammad Kazempour and Chloe L. Xie

No 31935, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We study strategic disclosure timing by correlated firms in the presence of risk-averse investors. Firms delay disclosures in the hope that positively correlated firms will announce especially good news and lift their own price. Risk premia rise before disclosures, drop when disclosures occur, and then rise again. Conditional risk premia can be much larger than unconditional risk premia. Disclosures are always good news, but disclosures that are only moderately good news induce clustering of disclosures by other positively correlated firms. We present evidence of strategic behavior in earnings announcement timing as predicted by the model.

JEL-codes: D83 G12 G14 (search for similar items in EconPapers)
Date: 2023-12
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