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Publication year
Endogenous Information Flows and the Clustering of Announcements
Resource type
Authors/contributors
- Acharya, Viral V. (Author)
- DeMarzo, Peter (Author)
- Kremer, Ilan (Author)
Title
Endogenous Information Flows and the Clustering of Announcements
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. (JEL D21, D83, G12, G14, L11)
Publication
American Economic Review
Volume
101
Issue
7
Pages
2955-79
Date
2011-12
Citation
Acharya, V. V., DeMarzo, P., & Kremer, I. (2011). Endogenous Information Flows and the Clustering of Announcements. American Economic Review, 101, 2955–2979.
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