Guiding the guiders: Foundations of a market-driven theory of disclosure

DOI10.4064/BC122-7zbMATH Open1460.91293OpenAlexW3131928187MaRDI QIDQ4989147FDOQ4989147

Authors Miles B. Gietzmann, Manfred Schreder, A. J. Ostaszewski 

Publication date 20 May 2021

Published in Banach Center Publications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2002.04886

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Prediction theory (aspects of stochastic processes) (60G25) Signal detection and filtering (aspects of stochastic processes) (60G35) Corporate finance (dividends, real options, etc.) (91G50) Stochastic learning and adaptive control (93E35)

Abstract: A foundational approach is developed for a mathematical theory of managerial disclosure in relation to asset pricing; this involves both the earnings guidance disclosed by firm management and market `trackers' pricing the firm's exposure to quotable risks.

Recommendations

• Disclosure, competition, and learning from asset prices
• Risk aversion, mandatory disclosure and the concealment of information
• On the revelation of private information in stock market economies
• Information Revelation and Market Incompleteness
• Public disclosure, information leakage, and strategic trading
• Information revelation in competitive markets
• Optimal disclosure policy and undue diligence
• The interval structure of optimal disclosure
• Disclosure of information under competition: an experimental study

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Cited in

(1)

• The kind of silence: managing a reputation for voluntary disclosure in financial markets

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