Disclosing a Random Walk

Ilan Kremer*, Amnon Schreiber, Andrzej Skrzypacz

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review


We examine a dynamic disclosure model in which the value of a firm follows a random walk. Every period, with some probability, the manager learns the firm's value and decides whether to disclose it. The manager maximizes the market perception of the firm's value, which is based on disclosed information. In equilibrium, the manager follows a threshold strategy with thresholds below current prices. He sometimes reveals pessimistic information that reduces the market perception of the firm's value. He does so to reduce future market uncertainty, which is valuable even under risk-neutrality.

Original languageAmerican English
Pages (from-to)1123-1146
Number of pages24
JournalJournal of Finance
Issue number2
StatePublished - Apr 2024

Bibliographical note

Publisher Copyright:
© 2023 The Authors. The Journal of Finance published by Wiley Periodicals LLC on behalf of American Finance Association.


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