Skip to main content
Article thumbnail
Location of Repository

Disclosures and asset returns

By Hyun Song Shin

Abstract

Public information to financial markets often arrives through the disclosures of interested parties who have a material interest in the reactions of the market to the new information. When the strategic interaction between the sender and the receiver is formalized as a disclosure game with verifiable reports, market prices observed in equilibrium can be given a simple characterization that relies only on the fact value of the announcement. Also, this characterisation predicts that the return variance following a bed outcome is higher than it would have been if he outcome were good. When investors are risk averse, this leads to negative serial correlation of asset returns

Topics: HG Finance, HB Economic Theory
Publisher: Financial Markets Group, London School of Economics and Political Science
Year: 2001
OAI identifier: oai:eprints.lse.ac.uk:25044
Provided by: LSE Research Online
Download PDF:
Sorry, we are unable to provide the full text but you may find it at the following location(s):
  • http://eprints.lse.ac.uk/25044... (external link)
  • http://fmg.lse.ac.uk (external link)
  • http://eprints.lse.ac.uk/25044... (external link)
  • Suggested articles


    To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.