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Speculation with Information Disclosure
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AI
DOI：10.1017/S0022109023000200.png)
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Abstract
En 中文
Sophisticated investors frequently choose to publicly disclose private information, a phenomenon inconsistent with most theories of speculation. We propose and test a model to bridge this gap. We show that when a speculator cares about both short-term portfolio value and long-term profit, a disclosure mixing asset fundamentals and her holdings is optimal by inducing competitive dealership to revise prices toward those holdings while alleviating adverse selection. We find that when mutual fund managers have stronger short-term incentives, the frequency of strategic non-anonymous disclosures about their stocks by market-worthy newspaper articles increases and those stocks' liquidity improves, consistent with our model.
Keywords:
HEDGE FUND ACTIVISM
STOCK RETURNS
CROSS-SECTION
RISK
LIQUIDITY
IMPACT
MARKET
COMMONALITY
PERFORMANCE
AUCTIONS
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