Disclosures and Asset Returns
研究利益相关方披露信息对资产回报的影响，通过博弈模型刻画均衡价格，预测披露结果差时回报方差更高，且风险厌恶下回报呈负序列相关。
Public information in 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, equilibrium prices can be given a simple characterization in terms of the concatenation of binomial pricing trees. There are a number of empirical implications. The theory predicts that the return variance following a poor disclosed outcome is higher than it would have been if the disclosed outcome were good. Also, when investors are risk averse, this leads to negative serial correlation of asset returns. Other points of contact with the empirical literature are discussed. Copyright The Econometric Society 2003.