Abstract

http://ssrn.com/abstract=237791
 
 

Citations



 


 



Asymmetric Information and News Disclosure Rules


Matthew I. Spiegel


Yale University - Yale School of Management, International Center for Finance

Avanidhar Subrahmanyam


University of California, Los Angeles (UCLA) - Finance Area


Journal of Financial Intermediation, Vol. 9, No. 4

Abstract:     
When the imminence of news announcements is not public knowledge, many traders will lack information on both the mean and variance of private information. Our analysis of such a setting in both single and multi-security contexts implies that disclosure of impending information events by firms can bound variance uncertainty and thereby improve investor welfare by mitigating the market breakdown problem. We also find that the equilibrium pricing functions are non-linear; specifically, convex for small trades and concave for larger ones. In addition, we predict that large transactions will be followed by large levels of volatility.

JEL Classification: G12, G14

Accepted Paper Series


Not Available For Download

Date posted: October 12, 2000  

Suggested Citation

Spiegel, Matthew I. and Subrahmanyam, Avanidhar, Asymmetric Information and News Disclosure Rules. Journal of Financial Intermediation, Vol. 9, No. 4. Available at SSRN: http://ssrn.com/abstract=237791

Contact Information

Matthew I. Spiegel
Yale University - Yale School of Management, International Center for Finance ( email )
135 Prospect Street
P.O. Box 208200
New Haven, CT 06520-8200
United States
203-432-6017 (Phone)
203-432-8931 (Fax)
HOME PAGE: http://som.yale.edu/~spiegel
Avanidhar Subrahmanyam (Contact Author)
University of California, Los Angeles (UCLA) - Finance Area ( email )
Los Angeles, CA 90095-1481
United States
310-825-5355 (Phone)
310-206-5455 (Fax)
Feedback to SSRN


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