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Disclosures and asset returns

Shin, Hyun Song (2001) Disclosures and asset returns. Discussion paper, 371. Financial Markets Group, 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: http://fmg.lse.ac.uk
Additional Information: © 2001 The Author
Library of Congress subject classification: H Social Sciences > HG Finance
H Social Sciences > HB Economic Theory
Sets: Research centres and groups > Financial Markets Group (FMG)
Collections > Economists Online
Collections > LSE Financial Markets Group (FMG) Working Papers
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Identification Number: 371
Date Deposited: 28 Aug 2009 10:59
URL: http://eprints.lse.ac.uk/25044/

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