The Effect of Exogenous Information on Voluntary Disclosure and Market Quality

Speaker
Sivan Frenkel
Date
12/06/2018 - 13:00 - 11:30Add To Calendar 2018-06-12 11:30:00 2018-06-12 13:00:00 The Effect of Exogenous Information on Voluntary Disclosure and Market Quality We analyze a disclosure model in which information may be disclosed by a firm as well as a third party. We refer to this third party as analyst coverage. Under plausible assumptions, analyst coverage crowds out disclosure by the firm. Despite the crowding out effect, we argue that an increase in analyst coverage increases aggregate information. While ranking based on Blackwell informativeness cannot be obtained we base this claim on two measures of information in prices. The first is statistical in nature while the second is based on liquidity in a trading stage that follows the information disclosure.   Joint work with Ilan Guttman and Ilan Kremer Economics building (504), faculty lounge on the first floor אוניברסיטת בר-אילן - המחלקה לכלכלה Economics.Dept@mail.biu.ac.il Asia/Jerusalem public
Place
Economics building (504), faculty lounge on the first floor
Affiliation
Tel Aviv University
Abstract
We analyze a disclosure model in which information may be disclosed by a firm as well as a third party. We refer to this third party as analyst coverage. Under plausible assumptions, analyst coverage crowds out disclosure by the firm. Despite the crowding out effect, we argue that an increase in analyst coverage increases aggregate information. While ranking based on Blackwell informativeness cannot be obtained we base this claim on two measures of information in prices. The first is statistical in nature while the second is based on liquidity in a trading stage that follows the information disclosure.
 
Joint work with Ilan Guttman and Ilan Kremer

תאריך עדכון אחרון : 11/06/2018