Resolution of Uncertainty and Asset Prices: Why the Timing of Information Release Might be Relevant After All

Resolution of Uncertainty and Asset Prices: Why the Timing of Information Release Might be... 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Review of Quantitative Finance and Accounting Springer Journals

Resolution of Uncertainty and Asset Prices: Why the Timing of Information Release Might be Relevant After All

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Publisher
Kluwer Academic Publishers
Copyright
Copyright © 1999 by Kluwer Academic Publishers
Subject
Finance; Corporate Finance; Accounting/Auditing; Econometrics; Operation Research/Decision Theory
ISSN
0924-865X
eISSN
1573-7179
D.O.I.
10.1023/A:1008300520707
Publisher site
See Article on Publisher Site

Abstract

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.

Journal

Review of Quantitative Finance and AccountingSpringer Journals

Published: Sep 30, 2004

References

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