Voluntary Disclosure of Granular Information

56 Pages Posted: 14 Jun 2018 Last revised: 26 Jan 2021

See all articles by Alexander Nezlobin

Alexander Nezlobin

London School of Economics & Political Science (LSE) - London School of Economics

Date Written: May 29, 2018

Abstract

This paper presents a model of voluntary disclosure in which the manager's information about the firm's value is granular, i.e., consists of a large random number of imprecise signals. Using an argument in the spirit of the Bernstein-von Mises theorem, we show that there exists a simple equilibrium in which the manager discloses all signals exceeding a certain threshold, and the market prices the firm using the same linear rule on and off the equilibrium path. In contrast to models with monolithic information, the manager chooses the optimal disclosure threshold effectively ignoring the effect of disclosure on the investors's residual uncertainty about the firm's value.

Keywords: Bayesian Asymptotics, Voluntary Disclosure, Residual Uncertainty, Granular Information, Bernstein-Von Mises Theorem

JEL Classification: D21, D82, G32, M41

Suggested Citation

Nezlobin, Alexander, Voluntary Disclosure of Granular Information (May 29, 2018). Available at SSRN: https://ssrn.com/abstract=3186924 or http://dx.doi.org/10.2139/ssrn.3186924

Alexander Nezlobin (Contact Author)

London School of Economics & Political Science (LSE) - London School of Economics ( email )

United Kingdom

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