The objective of this paper is to reexamine the effects of the timing of information releases on security prices. We extend Ross (1989) by allowing the timing of information releases to affect the martingale probabilities. We show that if the early release of information is expected to resolve part of the uncertainty about the economy wide shock, it will positively affect asset prices in general and, under some conditions, the price of the information generating firm will rise more than the price of other firms. Our results are consistent with puzzling empirical observations documented in both the accounting and financial economics literatures.
Review of Quantitative Finance and Accounting – Springer Journals
Published: Sep 30, 2004
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