TY  - JOUR
AU  - Acharya,Viral V.
AU  - DeMarzo,Peter M.
AU  - Kremer,Ilan
TI  - Endogenous Information Flows and the Clustering of Announcements
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 16485
PY  - 2010
Y2  - October 2010
UR  - http://www.nber.org/papers/w16485
L1  - http://www.nber.org/papers/w16485.pdf
N1  - Author contact info:
Viral V. Acharya
Stern School of Business
New York University
44 West 4th Street, Suite 9-84
New York, NY 10012
Tel: 212/998-0354
Fax: 212 995 4233
E-Mail: vacharya@stern.nyu.edu

Peter M. DeMarzo
Graduate School of Business
Stanford University
Stanford, CA 94305
Tel: 650/736-1082
Fax: 650/725-3716
E-Mail: pdemarzo@stanford.edu

Ilan Kremer
Graduate School of Business
Stanford University
Stanford, CA  94305
E-Mail: kremer_ilan@gsb.stanford.edu
AB  - We consider the strategic timing of information releases in a dynamic disclosure model. Because investors don’t know whether or when the firm is informed, the firm will not necessarily disclose immediately.  We show that bad market news can trigger the immediate release of information by firms.  Conversely, good market news slows the release of information by firms.  Thus, our model generates clustering of negative announcements.  Surprisingly, this result holds only when firms can preemptively disclose their own information prior to the arrival of external information. These results have implications for conditional variance and skewness of stock returns.
ER  -