American Disclosure Options

60 Pages Posted: 28 Dec 2023

See all articles by Kerry Back

Kerry Back

Rice University - Jesse H. Jones Graduate School of Business

Bruce Carlin

Rice University

Seyed Mohammad Kazempour

Louisiana State University

Chloe Xie

Massachusetts Institute of Technology (MIT) Sloan School of Management; Stanford University, Graduate School of Business, Students

Multiple version iconThere are 2 versions of this paper

Date Written: November 29, 2023

Abstract

We study strategic disclosure timing by correlated firms in the presence of risk-averse investors. Firms delay disclosures in the hope that positively correlated firms will announce especially good news and lift their own price. Risk premia rise before disclosures, drop when disclosures occur, and then rise again. Conditional risk premia can be much larger than unconditional risk premia. Disclosures are always good news, but disclosures that are only moderately good news induce clustering of disclosures by other positively correlated firms. We present evidence of strategic behavior in earnings announcement timing as predicted by the model.

Suggested Citation

Back, Kerry and Carlin, Bruce and Kazempour, Seyed Mohammad and Xie, Chloe and Xie, Chloe, American Disclosure Options (November 29, 2023). Available at SSRN: https://ssrn.com/abstract=4648459 or http://dx.doi.org/10.2139/ssrn.4648459

Kerry Back (Contact Author)

Rice University - Jesse H. Jones Graduate School of Business ( email )

6100 South Main Street
P.O. Box 1892
Houston, TX 77005-1892
United States

Bruce Carlin

Rice University ( email )

6100 South Main Street
Houston, TX 77005-1892
United States

Seyed Mohammad Kazempour

Louisiana State University ( email )

Baton Rouge, LA 70803-6308
United States

Chloe Xie

Massachusetts Institute of Technology (MIT) Sloan School of Management ( email )

77 Massachusetts Avenue
Cambridge, MA 02139-4307
United States

Stanford University, Graduate School of Business, Students ( email )

Stanford, CA
United States

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