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
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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.

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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。
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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.
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