Disclosing a Random Walk

IF 7.6 1区 经济学 Q1 BUSINESS, FINANCE Journal of Finance Pub Date : 2023-11-13 DOI:10.1111/jofi.13290
ILAN KREMER, AMNON SCHREIBER, ANDRZEJ SKRZYPACZ
{"title":"Disclosing a Random Walk","authors":"ILAN KREMER,&nbsp;AMNON SCHREIBER,&nbsp;ANDRZEJ SKRZYPACZ","doi":"10.1111/jofi.13290","DOIUrl":null,"url":null,"abstract":"<p>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.</p>","PeriodicalId":15753,"journal":{"name":"Journal of Finance","volume":null,"pages":null},"PeriodicalIF":7.6000,"publicationDate":"2023-11-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jofi.13290","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Finance","FirstCategoryId":"96","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1111/jofi.13290","RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0

Abstract

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.

Abstract Image

查看原文
分享 分享
微信好友 朋友圈 QQ好友 复制链接
本刊更多论文
披露随机漫步
我们研究了一个动态披露模型,其中公司的价值遵循随机游走。每个时期,经理都有可能了解到公司的价值,并决定是否披露。管理者以披露的信息为基础,最大化市场对公司价值的认知。在均衡状态下,基金经理采用低于当前价格的阈值策略。他有时会透露一些悲观的信息,从而降低市场对公司价值的认知。他这样做是为了减少未来市场的不确定性,即使在风险中立的情况下,这也是有价值的。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
求助全文
约1分钟内获得全文 去求助
来源期刊
Journal of Finance
Journal of Finance Multiple-
CiteScore
12.90
自引率
2.50%
发文量
88
期刊介绍: The Journal of Finance is a renowned publication that disseminates cutting-edge research across all major fields of financial inquiry. Widely regarded as the most cited academic journal in finance, each issue reaches over 8,000 academics, finance professionals, libraries, government entities, and financial institutions worldwide. Published bi-monthly, the journal serves as the official publication of The American Finance Association, the premier academic organization dedicated to advancing knowledge and understanding in financial economics. Join us in exploring the forefront of financial research and scholarship.
期刊最新文献
Presidential Address: Macrofinance and Resilience Scope, Scale, and Concentration: The 21st‐Century Firm Equilibrium Data Mining and Data Abundance Does Floor Trading Matter? A Multifactor Perspective on Volatility‐Managed Portfolios
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
已复制链接
已复制链接
快去分享给好友吧!
我知道了
×
扫码分享
扫码分享
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1