The sound of silence: equilibrium filtering and optimal censoring in financial markets

DOI10.1017/APR.2016.45zbMATH Open1427.91293arXiv1606.04039OpenAlexW2254025078MaRDI QIDQ5197399FDOQ5197399

Authors: Miles B. Gietzmann, A. J. Ostaszewski 

Publication date: 23 September 2019

Published in: Advances in Applied Probability (Search for Journal in Brave)

Abstract: Following the approach of standard filtering theory, we analyse investor-valuation of firms, when these are modelled as geometric-Brownian state processes that are privately and partially observed, at random (Poisson) times, by agents. Tasked with disclosing forecast values, agents are able purposefully to withhold their observations; explicit filtering formulas are derived for downgrading the valuations in the absence of disclosures. The analysis is conducted for both a solitary firm and m co-dependent firms.

Full work available at URL: https://arxiv.org/abs/1606.04039

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zbMATH Keywords

disclosurefilteringasset price dynamicsoptimal censorpredictable valuationpublic filtration

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) Financial applications of other theories (91G80) Stochastic learning and adaptive control (93E35)

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Cited In (3)

• The kind of silence: managing a reputation for voluntary disclosure in financial markets
• Guiding the guiders: Foundations of a market-driven theory of disclosure
• The sound of silence: equilibrium filtering and optimal censoring in financial markets

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