A Theory of Investors' Disclosure
研究了投资者在不确定自己是否拥有信息时，如何自愿披露证据，发现投资者总会披露初始证据，但会选择性披露额外证据，导致股价波动和误导性披露。
ABSTRACT We investigate investors' voluntary disclosure decisions under uncertainty about their information endowment. In our model, an investor may receive initial evidence about a target firm. Conditional on learning the initial evidence, the investor may receive additional evidence that helps them interpret the initial evidence. The investor takes a position in the firm's stock, then voluntarily discloses some or all of their findings, and finally closes their position after the disclosure. We present two main findings. First, the investor will always disclose the initial evidence, even though the market is uncertain about whether the investor possesses such evidence. Second, the investor's disclosure strategy of the additional evidence increases stock price volatility: they disclose extreme news and withhold moderate news. Due to the withholding of the additional evidence, misleading disclosure arises as an equilibrium outcome, where the investor's report decreases (increases) price despite their news being good (bad). These results remain robust when considering the target firm's endogenous response to the investor's report.