A Fast Literature Search Engine based on top-quality journals, by Dr. Mingze Gao.
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Speculation with Information Disclosure
Resource type
Authors/contributors
- Pasquariello, Paolo (Author)
- Wang, Yifei (Author)
Title
Speculation with Information Disclosure
Abstract
Sophisticated investors frequently choose to publicly disclose private information, a phenomenon inconsistent with most theories of speculation. We propose and test a model to bridge this gap. We show that when a speculator cares about both short-term portfolio value and long-term profit, a disclosure mixing asset fundamentals and her holdings is optimal by inducing competitive dealership to revise prices toward those holdings while alleviating adverse selection. We find that when mutual fund managers have stronger short-term incentives, the frequency of strategic non-anonymous disclosures about their stocks by market-worthy newspaper articles increases and those stocks’ liquidity improves, consistent with our model.
Publication
Journal of Financial and Quantitative Analysis
Volume
59
Issue
3
Pages
956-1002
Date
2024/05
Language
en
ISSN
0022-1090, 1756-6916
Accessed
6/17/24, 9:31 AM
Library Catalog
Cambridge University Press
Citation
Pasquariello, P., & Wang, Y. (2024). Speculation with Information Disclosure. Journal of Financial and Quantitative Analysis, 59, 956–1002.
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