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Endogenous information flows and the clustering of announcements
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Acharya, Viral V., DeMarzo, Peter and Kremer, Ilan (2011) Endogenous information flows and the clustering of announcements. American Economic Review, Vol.101 (No.7). pp. 2955-2979. doi:10.1257/aer.101.7.2955 ISSN 0002-8282.
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Official URL: http://dx.doi.org/10.1257/aer.101.7.2955
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 D21, D83, G12, G14, L11)
Item Type: | Journal Article | ||||
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Divisions: | Faculty of Social Sciences > Economics | ||||
Journal or Publication Title: | American Economic Review | ||||
Publisher: | American Economic Association | ||||
ISSN: | 0002-8282 | ||||
Official Date: | December 2011 | ||||
Dates: |
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Volume: | Vol.101 | ||||
Number: | No.7 | ||||
Page Range: | pp. 2955-2979 | ||||
DOI: | 10.1257/aer.101.7.2955 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access |
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