1 option
The Asset Pricing Implications of Plausible Deniability / Kerry Back, Bruce I. Carlin, Seyed Mohammad Kazempour.
- Format:
- Book
- Author/Creator:
- Back, Kerry.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w28348.
- NBER working paper series no. w28348
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2021.
- Summary:
- We derive the effect of plausible deniability on asset risk premia in a dynamic setting with correlated firm values, systematic risk, and risk-averse investors. Firms optimally exercise American disclosure options, which are more valuable due to the possibility that other correlated firms may disclose high values, lifting investors' perceptions of the values of nondisclosing firms. Risk premia rise (and average prices fall) prior to disclosures, because investors make inferences about aggregate risks from failures to disclose, resulting in higher state prices for bad states.
- Notes:
- Print version record
- January 2021.
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