Endogenous information flows and the clustering of announcements

Viral V. Acharya*, Peter DeMarzo, Ilan Kremer

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

85 Scopus citations


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.

Original languageAmerican English
Pages (from-to)2955-2979
Number of pages25
JournalAmerican Economic Review
Issue number7
StatePublished - Dec 2011
Externally publishedYes


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