2025/11/14 by Jianbin Su, Su, Jianhao, Yanliang Zhang +1
Economics, Econometrics and Finance · Business, Management and Accounting · Decision Sciences · #Financial Markets and Investment Strategies #Auditing, Earnings Management, Governance #Risk and Portfolio Optimization
paper · pdf · doi:10.48550/arxiv.2511.11405
The information released to investors in financial markets has various forms. We refer to range information as information about the upper and lower bound which the payoff of a risky asset may reach in the future. This study develops rational expectation models to explore the market impacts of disclosure of range information. Our model shows that its disclosure can decrease the sensitivity of market price to private signal and increase market liquidity. The market impact of its disclosure depends on the position and precision of the disclosed range. When the linear combination of private signal and noise trading volume is distant from the disclosed range, the reaction of price to a variation in private signal will almost vanish, whereas a movement of the disclosed range can affect the price efficiently. If the midpoint of the disclosed range is higher (lower) than a criterion which is specified in this study, the disclosure will reduce (raise) asset premium.