This paper analyzes the characteristics of earnings in valuation settings where the dividend policy is irrelevant to equity value. The paper first demonstrates an equivalent characterization of dividend policy irrelevancy (DPI) in a general linear dynamic. It then proceeds to show how DPI leads...

A foundational approach is developed for a mathematical theory of managerial disclosure in relation to asset pricing; this involves both the earnings guidance disclosed by firm management and market trackers pricing the firms exposure to quotable risks

Shin (2006) has argued that in order to understand the equilibrium patterns of corporate disclosure, it is necessary for researchers to work within an asset pricing framework in which corporate disclosures are endogenously determined. Echoing this sentiment, Larcker and Rusticus (2010) have...

Following the approach of standard filtering theory, we analyze investor valuation of firms, when these are modeled as geometric-Brownian state processes that are privately and partially observed, at random (Poisson) times, by agents. Tasked with disclosing forecast values, agents are able...