Following the approach of standard filtering theory, we analyse investor valuation of firms, when these are modelled 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 purposefully to withhold their observations; explicit filtering formulae are derived for downgrading the valuations in the absence of disclosures. The analysis is conducted for both a solitary firm and m co-dependent firms.

The sound of silence: equilibrium filtering and optional censoring in financial markets

GIETZMANN, MILES BERNARD;
2016

Abstract

Following the approach of standard filtering theory, we analyse investor valuation of firms, when these are modelled 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 purposefully to withhold their observations; explicit filtering formulae are derived for downgrading the valuations in the absence of disclosures. The analysis is conducted for both a solitary firm and m co-dependent firms.
2016
2016
Gietzmann, MILES BERNARD; Ostaszewski, Adam J.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11565/3993104
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