When valuing a firm, investors must assess not only its expected future cash flows but also the systematic risk inherent in these cash flows. In this paper, we model the process by which investors may learn about firms' betas from earnings and how this learning process affects the relationship...

This paper studies how public information regarding a firm's riskiness affects investors' incentives to acquire information about the firm and the firm's ability to learn decision-useful information from its price. I find that risk information complements investor learning by informing investors...

We develop a model of voluntary disclosure in the presence of diversely-informed investors. The manager's disclosure strategy influences trading by investors, which in turn affects the manager's incentives to disclose. We document conditions under which there exists a unique equilibrium where...

We study the prices of a firm's debt and equity in a market where investors have private information and may exhibit differences of opinion. We show how debt and equity valuations, and the impact of public information and distress risk on these valuations, depend upon disagreement and the...

Extensive evidence suggests that managers strategically choose the complexity of their descriptive disclosures. However, their motives in doing so appear mixed, as complex disclosures are used to obfuscate in some cases and as a means of informative communication in others. Building on these...

In this paper, we consider the price effects of risk disclosure. We develop a model in which investors are uncertain about the variance of a firm's cash flows and the firm releases an imperfect signal regarding this variance. In our model, uncertainty over the riskiness of a firm's cash flows...

We develop a measure of how information events impact investors' perceptions of risk that is broadly applicable and simple to implement. We derive this measure from an option-pricing model where investors anticipate an announcement that simultaneously conveys information on the announcer's...