Public Signals, Default Risk, and Voluntary Disclosure

• 成果类型: Article; Early Access
• 署名作者: Cianciaruso, Davide; Lee-Lo, Dor; Sridhar, Sri S.
• 署名单位: New Economic School; Tel Aviv University; Northwestern University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2022.01332
• 发表日期: 2025
• 关键词: default risk; leverage; news; public signals; variance uncertainty; voluntary disclosure

摘要

We examine how the information in public signals (e.g., earnings, analysts' forecasts) affects firms' voluntary disclosures. We consider levered firms and information structures such that investors update their beliefs about both the mean and variance of the firm's cash flows. We predict that firms that, conditional on the public signal, have a higher default risk are less likely to disclose. For firms with low ex ante default risk, larger positive surprises following the public signal initially increase the disclosure likelihood because they indicate a higher mean of cash flows. However, too large positive surprises may reduce the disclosure likelihood of these firms, because the larger surprise is also indicative of higher variance and, thus, higher probability of default. Symmetrically, larger negative surprises may increase disclosure for firms with high ex ante default risk, despite the more pessimistic inference about the mean, because the higher variance makes it more likely that these firms avoid default. Extending our analysis to multiple analysts' forecasts, we predict that not only consensus, but also dispersion affect firms' disclosure likelihood. Consensus conveys information about the mean and variance of cash flows, whereas dispersion is informative about the precision of which in turn affects the information content of forecasts.