Disclosing a Random Walk

• 成果类型: Article
• 署名作者: Kremer, Ilan; Schreiber, Amnon; Skrzypacz, Andrzej
• 署名单位: Hebrew University of Jerusalem; University of Warwick; Bar Ilan University; Hebrew University of Jerusalem
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13290
• 发表日期: 2024
• 页码: 1123-1146
• 关键词: information; cost

摘要

We examine a dynamic disclosure model in which the value of a firm follows a random walk. Every period, with some probability, the manager learns the firm's value and decides whether to disclose it. The manager maximizes the market perception of the firm's value, which is based on disclosed information. In equilibrium, the manager follows a threshold strategy with thresholds below current prices. He sometimes reveals pessimistic information that reduces the market perception of the firm's value. He does so to reduce future market uncertainty, which is valuable even under risk-neutrality.