December 12, 2022 (Monday)
Information and facts Intensity and Pricing of Earnings Announcement Hazard
Earnings bulletins existing a clear chance to traders. We conjecture that in a current market with frictions, the top quality of earnings announcement threat is possible realized in a discrete course of action and concentrated on periods with high intensity of cash-movement information. When there is update of hard cash-move news and transform in hard cash-flow uncertainty, investors modify expectation of stock returns and integrate the top quality into inventory rates. We build an ex ante measure of anticipated information depth (EII) dependent on predicted company occasions and come across that when companies have superior EII, there is a drastically optimistic relation amongst earnings announcement risk and stock returns. A possible strategy of prolonged (quick) stocks with superior (lower) earnings announcement risk yields a monthly .58% (annualized 6.96%) return in Fama-French 5-element alpha. Moreover, we show that reliable with our conjecture, the quality is acquired primarily close to the day of company bulletins. We present supplemental evidence that info manufacturing and usage trigger the pricing of danger.
Dr. Jingjing Chen
Jingjing Chen is a traveling to assistant professor at Northeastern College. She acquired her Ph.D. in Finance from Washington State University. Her study interests are empirical asset pricing, sustainable investing, market place microstructure, and derivatives. Jingjing’s investigate research how details is integrated into asset price ranges, and what drives asset returns in the short term (liquidity, focus) and the lengthy time period (cash flows, regulation, ESG preferences). She has a publication at Journal of Banking and Finance and a few operating papers.
Jingjing teaches undergraduate, graduate and MBA classes. Her educating passions include things like investments, company finance, economical modeling, quantitative portfolio management, FinTech, quantitative
finance, and info analytics. In 2021, Jingjing received Exceptional Doctoral Scholar Instructing Award.
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