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Disclosures and asset returns

Shin, Hyun Song (2001) Disclosures and asset returns. Financial Markets Group Discussion Papers (371). Financial Markets Group, The London School of Economics and Political Science, London, UK.

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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.

Item Type: Monograph (Discussion Paper)
Official URL: https://www.fmg.ac.uk/
Additional Information: © 2001 The Author
Divisions: Financial Markets Group
Subjects: H Social Sciences > HG Finance
H Social Sciences > HB Economic Theory
JEL classification: G - Financial Economics > G1 - General Financial Markets > G10 - General
C - Mathematical and Quantitative Methods > C0 - General > C00 - General
Date Deposited: 28 Aug 2009 10:59
Last Modified: 02 Nov 2022 14:09
URI: http://eprints.lse.ac.uk/id/eprint/25044

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