Endogenous Information Flows and the Clustering of Announcements

Peter DeMarzo, Viral Acharya and Ilan Kremer

No 8680, CEPR Discussion Papers from Centre for Economic Policy Research

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.

Keywords: Disclosure; Disclosure dynamics; Strategic disclosure; Disclosure timing; Earnings announcement; stochastic volatility; Skewness (search for similar items in EconPapers)
JEL-codes: D82 G14 G30 M41 (search for similar items in EconPapers)
Date: 2011-12
New Economics Papers: this item is included in nep-cta
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (82)

Downloads: (external link)
https://cepr.org/publications/DP8680 (application/pdf)

Related works:
Journal Article: Endogenous Information Flows and the Clustering of Announcements (2011)
Working Paper: Endogenous Information Flows and the Clustering of Announcements (2010)
Working Paper: Endogenous Information Flows and the Clustering of Announcements (2008)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cpr:ceprdp:8680

Ordering information: This working paper can be ordered from
https://cepr.org/publications/DP8680

Access Statistics for this paper

More papers in CEPR Discussion Papers from Centre for Economic Policy Research 33 Great Sutton Street, London EC1V 0DX, UK.
Bibliographic data for series maintained by CEPR ().