Good disclosure, bad disclosure

• 成果类型: Article
• 署名作者: Goldstein, Ray; Yang, Liyan
• 署名单位: University of Pennsylvania; University of Toronto; Peking University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2018.08.004
• 发表日期: 2019
• 页码: 118-138
• 关键词: disclosure; Price informativeness; learning; Real efficiency

摘要

We study real-efficiency implications of disclosing public information in a model with multiple dimensions of uncertainty where market prices convey information to a real decision maker. Paradoxically, when disclosure concerns a variable that the real decision maker cares to learn about, disclosure negatively affects price informativeness, and in markets that are effective in aggregating private information, this negative price-informativeness effect can dominate so that better disclosure negatively impacts real efficiency. When disclosure concerns a variable that the real decision maker already knows much about, disclosure always improves price informativeness and real efficiency. Our analysis has important empirical and policy implications for different contexts such as disclosure of stress test information and regulation of credit ratings. (C) 2018 Elsevier B.V. All rights reserved.