Graduate School of Business
Stanford, CA 94305
Institutional Affiliation: Stanford University
NBER Working Papers and Publications
|October 2010||Endogenous Information Flows and the Clustering of Announcements|
with Viral V. Acharya, Peter M. DeMarzo: w16485
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.
Published: Viral V. Acharya & Peter DeMarzo & Ilan Kremer, 2011. "Endogenous Information Flows and the Clustering of Announcements," American Economic Review, American Economic Association, vol. 101(7), pages 2955-79, December. citation courtesy of
|November 2004||Bidding With Securities: Auctions and Security Design|
with Peter M. DeMarzo, Andrzej Skrzypacz: w10891
We study security-bid auctions in which bidders compete by bidding with securities whose payments are contingent on the realized value of the asset being sold. Such auctions are commonly used, both formally and informally. In formal auctions, the seller restricts bids to an ordered set, such as an equity share or royalty rate, and commits to a format, such as first or second-price. In informal settings with competing buyers, the seller does not commit to a mechanism upfront. Rather, bidders offer securities and the seller chooses the most attractive bid, based on his beliefs, ex-post.
We characterize equilibrium payoffs and bidding strategies for formal and informal auctions. For formal auctions, we examine the impact of both the security design and the auction format. We define a notion...
Published: DeMarzo, Peter M., Ilan Kremer and Andrzej Skrzypacz. "Bidding With Securities: Auctions And Security Design," American Economic Review, 2005, v95(4,Sep), 936-959. citation courtesy of