Endogenous Information Flows and the Clustering of Announcements
研究了企业信息披露的时机选择，发现坏消息会促使企业立即披露，好消息则延迟披露，导致负面公告的聚类现象。
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.