A Simple Information Releases Model in the Presence of Correlated Public and Private Information

This paper discusses main factors affecting the magnitude of price from a theoretical perspective under a sequence of public and private information releases about the real value of a single risky asset. The market possesses prior information about the mean and variance of the value of the risky asset, as well as the crosscorrelation between the public and private information. By using comparative static analysis, our model furnishes some structures to investigate the variation of stock price changes under the sequential information releases. This paper shows some unambiguous results for most of the determinants by placing certain restrictions on the intertemporal correlation and inter-information sources correlation, respectively.