Good Disclosure, Bad Disclosure
Good Disclosure, Bad Disclosure
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DOI：
10.2139/ssrn.2388976
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发表时间：
2017-10
期刊：
影响因子：
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通讯作者：
Itay Goldstein;Liyan Yang
中科院分区：
文献类型：
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作者：
Itay Goldstein;Liyan Yang
我们研究了在一个具有多个不确定性维度的模型中披露公共信息的实际效率影响，其中市场价格将信息传递给真实的决策者。具有讽刺意味的是，当披露涉及到一个真实的决策者关心了解的变量时，披露会对价格信息性产生负面影响，而在有效汇总私人信息的市场中，这种负面的价格信息性效应可能占主导地位，因此更好的披露会对真实的效率产生负面影响。当披露涉及的变量是真实的决策者已经知道很多的时候，披露总是提高价格信息含量和真实的效率。我们的分析对不同的背景，如压力测试信息的披露和信用评级的监管具有重要的实证和政策意义。
We study real-efficiency implications of disclosing public information in a model with multiple dimensions of uncertainty where market prices convey information to a real decision maker. Paradoxically, when disclosure concerns a variable that the real decision maker cares to learn about, disclosure negatively affects price informativeness, and in markets that are effective in aggregating private information, this negative price-informativeness effect can dominate so that better disclosure negatively impacts real efficiency. When disclosure concerns a variable that the real decision maker already knows much about, disclosure always improves price informativeness and real efficiency. Our analysis has important empirical and policy implications for different contexts such as disclosure of stress test information and regulation of credit ratings.