A Theory of Disclosure in Speculative Markets
研究了在投资者异质信念和卖空限制的市场中，初始卖家为何选择不精确的披露政策以增加投机溢价，并揭示了卖家间披露决策的战略互补性。
This paper presents a theory of disclosure in a market where investors have heterogeneous beliefs and face short-sale constraints. Assets trade above fundamentals reflecting the value of the option to sell to more optimistic investors in the future. The initial seller has an incentive to commit to an imprecise disclosure policy, despite the negative effect this has on the fundamental value of the asset, in order to increase the potential for disagreement and hence the magnitude of the speculative premium. I show that there is a strategic complementarity between sellers in their disclosure decisions. This explains why financial misreporting and episodes of speculation occur together in waves and demonstrates that the endogenous choice of imprecise disclosure amplifies the extent to which assets are overpriced. This paper was accepted by Amit Seru, finance.