This paper studies the inquiry/response disclosure policy to verify the rumors in the financial market. When the market regulators acknowledge rumors, they make a public inquiry and the related firm must respond by a specific deadline. I introduce a theoretical model using a sequential-auction framework with the number of informed traders increasing at the inquiry disclosure. The model aligns with the data that the stock prices to converge faster to the true fundamental value of the asset after the disclosure. Empirical analysis using data from Korea Exchange (KRX) supports the theory I introduce in this paper. Calibration results show the inquiry/disclosure regulation is
efficient in terms of price revelation and lessening insiders’ profits.
학회소식
[2013년 제 4차] The Power of Asking Questions: Resolving Financial
작성자 : 관리자
조회수 : 808
게시일 :
2013-12-16
첨부파일
