Discretionary Disclosures to Risk‐Averse Traders: A Research Note
扩展了Verrecchia（1983）模型，推导出当所有交易者具有恒定风险容忍度时内生的价格函数形式，并分析了经理人的披露策略，发现自愿性披露不影响交易者对不同结果的风险定价。
Abstract Verrecchia (1983) investigates a manager's incentives for costly, discretionary disclosure of his information to risk‐averse traders when the functional form of prices is exogenously specified. We extend Verrecchia (1983) by deriving the endogenously determined functional form of prices that would arise when all traders have constant risk tolerance. We show that these endogenously determined prices are inconsistent with the assumed prices in Verrecchia (1983) when the manager elects to not disclose. We derive the manager's disclosure strategy for our setting and extend the comparative static results in Verrecchia (1990) for risk‐neutral traders to a setting where traders have constant risk tolerance and prices are endogenously derived. Further, in our setting, discretionary disclosure does not affect how traders price risk of different outcomes. Also, we offer a representation of risk‐averse traders' prices using risk‐adjusted distributions. Finally, these results provide implications for empirical‐archival discretionary disclosure studies.