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| Title: | | Information disclosure, intertemporal risk sharing, and asset prices  |
| Authors: | | Dang, Tri Vi Hakenes, Hendrik |
| Issue Date: | | 2010 |
| Series/Report no.: | | Preprints of the Max Planck Institute for Research on Collective Goods 2010,36 |
| Abstract: | | Disclosure of information triggers immediate price movements, but it mitigates price movements at a later date, when the information would otherwise have become public. Consequently, disclosure shifts risk from later cohorts of investors to earlier cohorts. Hence, disclosure policy can be interpreted as a tool to control interim asset price movements, and to allocate risk intertemporally. This paper shows that a policy of partial disclosure (and, hence, of intertemporal risk sharing) can maximize, but surprisingly also minimize, the market value of the firm. Our model also applies to a setting where a central bank chooses the quality and frequency of the disclosure of macroeconomic information, or to the precision of disclosure by (distressed) banks. |
| Subjects: | | financial reporting disclosure information policy asset pricing intertemporal risk sharing general equilibrium |
| JEL: | | G14 D92 M41 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Preprints of the Max Planck Institute for Research on Collective Goods
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