Financial reporting and market efficiency with extrapolative investors

• 成果类型: Article
• 署名作者: Bianchi, Milo; Jehiel, Philippe
• 署名单位: Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; Paris School of Economics; Institut Polytechnique de Paris; Ecole des Ponts ParisTech; University of London; University College London
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2015.02.009
• 发表日期: 2015
• 页码: 842-878
• 关键词: extrapolation; Efficient market hypothesis; COMPETITION; Sophistication; Financial reporting

摘要

We model a financial market in which companies engage in strategic financial reporting knowing that investors only pay attention to a randomly drawn sample from firms' reports and extrapolate from this sample. We investigate the extent to which stock prices differ from the fundamental values, assuming that companies must report all their activities but are otherwise free to disaggregate their reports as they wish. We show that no matter how large the samples considered by investors are, a monopolist can induce a price of its stock bounded away from the fundamental. Besides, increasing the number of companies competing to attract investors may exacerbate the mispricing of stocks. (c) 2015 Elsevier Inc. All rights reserved.