Endogenous information flows and the clustering of announcements
By: Viral V. Acharya, Peter M. DeMarzo, Ilan Kremer
Contributors: DeMarzo, Peter M.; Kremer, Ilan; National Bureau of Economic Research
Series: NBER working paper series -- working paper 16485; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 16485.
Publisher: National Bureau of Economic Research
Published: 2010
Place of publication: Cambridge, MA
Language: eng
Format: [electronic resource] /
Description: "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"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 1/6/2011.

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