Cianciaruso, Davide
[Verfasser:in]
;
Marinovic, Ivan
[Sonstige Person, Familie und Körperschaft];
Smith, Kevin
[Sonstige Person, Familie und Körperschaft]
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 3, 2020 erstellt
Beschreibung:
We study the optimal disclosure policy of a firm that wishes to maximize its expected stock price in the classic setting in which its stock is traded by risk-averse investors and noise traders. We find that the optimal disclosure policy is imprecise and leads to skewed posterior beliefs. This policy subjects short positions to tail risk, causing investors to demand a large increase in price to absorb noise-trader purchases and leading to overvaluation. Despite providing purely firm-specific information, this policy impacts the firm's expected returns. We further show the firm can inflate its price even when restricted to simple policies that withhold news lying above or below a threshold