Voluntary disclosure with evolving news

• 成果类型: Article
• 署名作者: Aghamolla, Cyrus; An, Byeong-Je
• 署名单位: University of Minnesota System; University of Minnesota Twin Cities; Nanyang Technological University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.11.004
• 发表日期: 2021
• 页码: 21-53
• 关键词: voluntary disclosure; Evolving information; Dynamic disclosure; COMMUNICATION; Price drop; Return skewness

摘要

We study a dynamic voluntary disclosure setting where the manager's information and the firm's value evolve over time. The manager is not limited in her disclosure opportunities, but disclosure is costly. The results show that the manager discloses even if this leads to a price decrease in the current period. The manager absorbs this price drop in order to increase her option value of withholding disclosure in the future. That is, by disclosing today, the manager can improve her continuation value. The results provide a number of novel empirical predictions regarding asset prices and disclosure patterns over time. These include, among others, that disclosures are negatively correlated in time, and stock return skewness is negatively correlated with lagged returns for firms with low uncertainty over their future profitability, in more competitive industries, and in industries with less informative public news. (C) 2020 Elsevier B.V. All rights reserved.