Référence

Milo Bianchi et Philippe Jehiel, « Financial reporting and market efficiency with extrapolative investors », Journal of Economic Theory, vol. 157, mai 2015, p. 842–878.

Résumé

We model a financial market in which companies engage in strategic financial reporting knowing that investors only pay attention to a randomly drawn sample from firms' reports and extrapolate from this sample. We investigate the extent to which stock prices differ from the fundamental values, assuming that companies must report all their activities but are otherwise free to disaggregate their reports as they wish. We show that no matter how large the samples considered by investors are, a monopolist can induce a price of its stock bounded away from the fundamental. Besides, increasing the number of companies competing to attract investors may exacerbate the mispricing of stocks.

Mots-clés

Extrapolation; efficient market hypothesis; competition; sophistication; financial reporting;

Codes JEL

  • C72: Noncooperative Games
  • G14: Information and Market Efficiency • Event Studies • Insider Trading

Partenaire de recherche

Scor Chair

Thème de recherche

Regulation, Liquidity and Solvency Risks