Disclosures and asset returns

Hyun Song Shin

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

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.

JEL-codes: C00 G10 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2001-03-01
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Related works:
Journal Article: Disclosures and Asset Returns (2003)
Working Paper: Disclosures and Asset Returns (2002)
Working Paper: Disclosures and Asset Returns (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:25044

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