Disclosing to Informed Traders

• 成果类型: Article
• 署名作者: Banerjee, Snehal; Marinovic, Ivan; Smith, Kevin
• 署名单位: University of California System; University of California San Diego; Stanford University; Stanford University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13296
• 发表日期: 2024
• 页码: 1513-1578
• 关键词: voluntary disclosure; PROPRIETARY INFORMATION; MARKET; cost; TRANSPARENCY; liquidity; QUALITY; CONSEQUENCES; uncertainty; returns

摘要

We develop a model in which a firm's manager can voluntarily disclose to privately informed investors. In equilibrium, the manager only discloses sufficiently favorable news. If the manager is known to be informed but disclosure is costly, the probability of disclosure increases with market liquidity and the stock trades at a discount relative to expected cash flows. However, when investors are uncertain about whether the manager is informed, disclosure can decrease with market liquidity and the stock can trade at a premium relative to expected cash flows. Moreover, contrary to common intuition, public information can crowd in more voluntary disclosure.