Back, Kerry E.; Carlin, Bruce Ian; Kazempour, Seyed Mohammad - National Bureau of Economic Research - 2021
, systematic risk, and risk-averse investors. Firms optimally exercise American disclosure options, which are more valuable due to …We derive the effect of plausible deniability on asset risk premia in a dynamic setting with correlated firm values … nondisclosing firms. Risk premia rise (and average prices fall) prior to disclosures, because investors make inferences about …