Acharya, Viral V. <br/><br/>
Endogenous Information Flows and the Clustering of Announcements / 
Viral V. Acharya, Peter M. DeMarzo, Ilan Kremer. 
 - Cambridge, Mass.  National Bureau of Economic Research  2010. 
 - 1 online resource:  illustrations (black and white); 
 - NBER working paper series  no. w16485 .
 - Working Paper Series (National Bureau of Economic Research)  no. w16485. .
<br/><br/> October 2010. 
<br/><br/> 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. 
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