Mandatory and Voluntary Disclosures: Dynamic Interactions
研究了企业同时获得软硬信息时，多期优化披露如何导致强制和自愿披露后股票价格的非线性反应，并预测了披露与不披露对证券价格的短期和长期不同影响。
ABSTRACT Firms sometimes obtain soft private information about growth prospects along with hard information about current or past performance. In this environment, we find that optimizing disclosures over multiple periods yields nonlinear stock price reactions following both voluntary and mandatory disclosures. Further, we derive several predictions about distinct short‐run and long‐run effects of disclosures and nondisclosures on security prices. Under specified conditions, when the volatility of the firm's earnings increases, the average contemporaneous and prospective post‐mandatory‐disclosure market premia (for voluntary disclosures over nondisclosures) rise, while farther‐in‐future market discounts (for such voluntary disclosures) also become larger. Our analysis moreover predicts that both the disclosure probability and the information content of nondisclosures can increase in the persistence of earnings.