Endogenous Information Flows and the Clustering of Announcements

Viral Acharya, Peter DeMarzo and Ilan Kremer

No 16485, NBER Working Papers from National Bureau of Economic Research, Inc

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-codes: D82 G14 G30 M41 (search for similar items in EconPapers)
Date: 2010-10
New Economics Papers: this item is included in nep-bec and nep-cta
Note: AP CF
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Citations: View citations in EconPapers (1)

Published as Viral V. Acharya & Peter DeMarzo & Ilan Kremer, 2011. "Endogenous Information Flows and the Clustering of Announcements," American Economic Review, American Economic Association, vol. 101(7), pages 2955-79, December.

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Related works:
Journal Article: Endogenous Information Flows and the Clustering of Announcements (2011)
Working Paper: Endogenous Information Flows and the Clustering of Announcements (2011)
Working Paper: Endogenous Information Flows and the Clustering of Announcements (2008)
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