Costly Disclosures in a Voluntary Disclosure Model with an Opponent

This paper analyzes voluntary disclosure equilibria when the voluntary disclosure model presented inWAGENHOFER (1990) is modified so as to include fixed disclosure costs as used in VERRECCHIA (1983). It turns out that incorporating both disclosure and proprietary costs rules out full disclosure equilibria. Moreover, it yields additional disclosure equilibria that differ significantly from the equilibria in VERRECCHIA (1983) and WAGENHOFER (1990). Thus, in the extended model the firm is provided with additional incentives to withhold its private information from the public.Voluntary disclosure;disclosure costs;proprietary costs

A Nucleolus for Stochastic Cooperative Games

This paper extends the definition of the nucleolus to stochastic cooperative games, that is, to cooperative games with random payoffs to the coalitions. It is shown that the nucleolus is nonempty and that it belongs to the core whenever the core is nonempty. Furthermore, it is shown for a particular class of stochastic cooperative games that the nucleolus can be determined by calculating the traditional nucleolus introduced by Schmeidler (1969) of a specific deterministic cooperative game.Nucleolus;cooperative game theory;random variables;preferences

Price Uncertainty in Linear Production Situations

This paper analyzes linear production situations with price uncertainty, and shows that the corrresponding stochastic linear production games are totally balanced. It also shows that investment funds, where investors pool their individual capital for joint investments in financial assets, fit into this framework. For this subclass, the paper provides a procedure to construct an optimal investment portfolio. Furthermore it provides necessary and sufficient conditions for the proportional rule to result in a core-allocation.linear production;stochastic cooperative games;investment funds

Post Earnings Announcement Drift: More Risk than Investors can Bear

This paper shows how post earnings announcement drift may arise in a capital market with rational investors if the firm's earnings in consecutive periods are positively correlated and there is a fixed supply of the firm's shares.This result is driven by the fact that equilibrium share prices depend on the forward looking information contained in current earnings and the amount of risk that the fixed supply of shares imposes on the investors.If the latter is sufficiently large, share prices will be relatively rigid with respect to the forward looking information contained in current earnings.Hence, good (bad) news yields an increase (decrease) in the equilibrium price that is too small compared to the information that is released in the earnings announcement, so that positive (negative) abnormal returns are likely to occur again in the next period.earnings per share;capital markets;investment

Voluntary Disclosure and Risk Sharing

This paper analyzes the disclosure strategy of firms that face uncertainty regarding the investor's response to a voluntary disclosure of the firm's private information.This paper distinguishes itself from the existing disclosure literature in that firms do not use voluntary disclosures to separate themselves from the less profitable firms.Here, voluntary disclosures are used to redistribute risk.It is shown that in a partial disclosure equilibrium, a firm discloses relatively bad news and withholds relatively good news.The reason for nondisclosure is that a firm is not willing to risk a negative response by the investor.However, if private information is relatively bad, nondisclosure imposes such a high risk on the investor, that he invests most of his capital in investment opportunities other than the firm.In that case, the firm is better off by disclosing its private information as this reduces the risk of the investor and increases the expected investment in the firm.risk sharing;voluntary disclosure

Going-Public and the Influence of Disclosure Environment

This paper analyzes how differences in disclosure environments affect the firms choice between private and public capital. Disclosure regulations prescribe to what extent the firm has to release confidential information that may lead to the firm incurring proprietary cost. We examine which firms go public in equilibrium, and how the equilibrium outcomes change with changes in the disclosure environments.Going-public decision;disclosure environments;proprietary cost

On consistency of reward allocation rules in sequencing situations

In this paper we consider the equal gain splitting rule and the split core. Both are solution concepts for sequencing situations and were introduced by Curiel, Pederzoli and Tijs (1989) and Hamers, Suijs, Tijs and Borm (1994) respectively. Our goal is a characterization of these solution concepts using consistency properties. However, to do this we need a more subtle look at the allocations assigned by both solution concepts. In the current definitions they assign aggregated allocations, i.e. only the total reward is assigned to each agent. To use consistency in sequencing situations, aggregated solution concepts do not provide sufficient information. What we need is a further specification of this total reward of an agent. Therefore we introduce so called non-aggregated solution concepts. A non-aggregated solution concept assigns a vector to each agent, in some way representing the specification of his total reward. Consequently, a non-aggregated solution concept assigns to each sequencing situation a matrix instead of a vector. In this paper we introduce the non-aggregated counter-parts of the equal gain splitting rule and the split core and characterize them using consistency.Game Theory;Production Scheduling;operations research

Linear Transformation of Products: Games and Economies

AMS classifications: 90A15, 90D12.linear transformation;cooperative games;economies;price equilibria

Voluntary Disclosure and Risk Sharing

This paper analyzes the disclosure strategy of firms that face uncertainty regarding the investor's response to a voluntary disclosure of the firm's private information.This paper distinguishes itself from the existing disclosure literature in that firms do not use voluntary disclosures to separate themselves from the less profitable firms.Here, voluntary disclosures are used to redistribute risk.It is shown that in a partial disclosure equilibrium, a firm discloses relatively bad news and withholds relatively good news.The reason for nondisclosure is that a firm is not willing to risk a negative response by the investor.However, if private information is relatively bad, nondisclosure imposes such a high risk on the investor, that he invests most of his capital in investment opportunities other than the firm.In that case, the firm is better off by disclosing its private information as this reduces the risk of the investor and increases the expected investment in the firm.