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) |
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| 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: | 13 Sep 2024 19:44 |
| URI: | http://eprints.lse.ac.uk/id/eprint/25044 |
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