Disclosure Dynamics and Investor Learning
研究了投资者对盈利能力的持续学习如何导致管理层披露决策的持续性，利用盈利预测数据估计模型，发现假设投资者已知盈利能力时，管理层预测决策的持续性显著下降17%-27%，约24%的公司会改变披露方式。
This paper examines whether investor learning about profitability (i.e., the mean of earnings distribution) leads to persistence in disclosure decisions. A repeated single-period model shows that persistent investor beliefs about profitability lead to persistent disclosure decisions. Using earnings forecast data, I structurally estimate the model and perform several counterfactual analyses. I find that, when investors are assumed to know profitability, the persistence of management forecast decisions significantly declines by 17%–27%. About 24% of firms would have disclosed differently, resulting in 3.9% net change in the amount of information (i.e., posterior variance) provided to the capital market. Collectively, the results indicate the importance of learning profitability in understanding disclosure decisions and the capital market consequences of disclosures. This paper was accepted by Shiva Rajgopal, accounting.