Disclosure and Dynamic Risk Sharing with a Large Shareholder
研究了在不完全竞争动态市场中，信息披露如何影响大股东与小额投资者之间的风险分担，发现适中的披露质量能最大化总剩余但损害大股东利益。
ABSTRACT We study the effects of disclosure in a dynamic market with imperfect competition. The supply of an asset is determined by a large shareholder with price impact, who trades slowly to diversify away from concentrated ownership. Small investors provide capital and thus risk-bearing capacity to the market. Although it is well known that disclosure impedes risk sharing by shifting risk before future trading opportunities, we show that disclosure, at the same time, can enhance risk sharing by promoting more trades. Resolving this tradeoff, an interior level of disclosure quality maximizes the small investors’ surplus as well as the total surplus, but minimizes the large shareholder’s surplus. Further, efficient disclosure policies feature increasing quality over time. JEL Classifications: D80; E21; G12; L13; M41.