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The sound of silence: equilibrium filtering and optimal censoring in financial markets
Published online by Cambridge University Press: 25 July 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.
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- Research Article
- Information
- Advances in Applied Probability , Volume 48 , Issue A: Probability, Analysis and Number Theory , July 2016 , pp. 119 - 144
- Copyright
- Copyright © Applied Probability Trust 2016
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