Disclosures and Asset Returns

Hyun Song Shin

FMG Discussion Papers from Financial Markets Group

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.

Date: 2001-03
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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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