Disclosures and Asset Returns
Disclosures and Asset Returns
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DOI：
10.1111/1468-0262.00391
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发表时间：
2001-03
期刊：
影响因子：
--
通讯作者：
H. Shin
中科院分区：
文献类型：
--
作者：
H. Shin
金融市场的公开信息往往是通过对市场对新信息的反应有重大利害关系的利益相关方的披露而获得的。当发送者和接收者之间的战略互动被形式化为一个具有可验证报告的披露博弈时，在均衡中观察到的市场价格可以被赋予一个简单的特征，只依赖于公告的事实价值。此外，这种表征预测，床结果后的回报方差高于如果结果良好的回报方差。当投资者厌恶风险时，这会导致资产收益的负序列相关。
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.