Pre-announcement and event-period private information

Pre-announcement and event-period private information Pre-announcement information is private information gathered in anticipation of a public disclosure. Event-period information is private information useful in conjunction with the announcement itself. Typically rational models of trade are based exclusively on one type of information. Such models are less descriptive of real market settings and misspecified empirically. Therefore, we introduce a model of rational trade with both features and discuss its implications. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Accounting and Economics Elsevier

Pre-announcement and event-period private information

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Publisher
Elsevier
Copyright
Copyright © 1998 Elsevier Science B.V.
ISSN
0165-4101
DOI
10.1016/S0165-4101(98)00013-5
Publisher site
See Article on Publisher Site

Abstract

Pre-announcement information is private information gathered in anticipation of a public disclosure. Event-period information is private information useful in conjunction with the announcement itself. Typically rational models of trade are based exclusively on one type of information. Such models are less descriptive of real market settings and misspecified empirically. Therefore, we introduce a model of rational trade with both features and discuss its implications.

Journal

Journal of Accounting and EconomicsElsevier

Published: Dec 31, 1997

References

  • Disclosure, liquidity, and the cost of capital
    Diamond, D.W.; Verrecchia, R.E.
  • A theory of trading volume
    Karpoff, J.M.

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