Citation

Discussion Paper Details

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Title: Endogenous Information Flows and the Clustering of Announcements

Author(s): Viral V. Acharya, Peter DeMarzo and Ilan Kremer

Publication Date: December 2011

Keyword(s): disclosure dynamics, disclosure timing, disclosure,, earnings announcement, skewness, stochastic volatility and strategic disclosure

Programme Area(s): Financial Economics

Abstract: We consider the strategic timing of information releases in a dynamic disclosure model. Because investors don?t know whether or when the firm is informed, the firm will not necessarily disclose immediately. We show that bad market news can trigger the immediate release of information by firms. Conversely, good market news slows the release of information by firms. Thus, our model generates clustering of negative announcements. Surprisingly, this result holds only when firms can preemptively disclose their own information prior to the arrival of external information. These results have implications for conditional variance and skewness of stock returns.

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Bibliographic Reference

Acharya, V, DeMarzo, P and Kremer, I. 2011. 'Endogenous Information Flows and the Clustering of Announcements'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=8680