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[Seminar] 財金系 3/26 (一) 上午 10:30 邀請 University of New South Wales 的 Prof. Jerry T. Parwada 演講
活動起日:2018-03-26 
發佈日期:2018-03-21 
瀏覽數:114  2018-03-21 更新

本系擬於 3/26 () 邀請 University of New South Wales Prof. Jerry T. Parwada 至本所進行專題演講,相關訊息如下:

 

【演講訊息】

時間: 3/26 () 10:30-12:00

地點: 管理學院一號館 402 教室

講者Prof. Jerry T. Parwada

講題: The More We Know, the Less We Agree: A Test of the Trading Horizon Heterogeneity Theory

 

Abstract: 

This paper examines the Kondor (2012) theoretical explanation of an enduring puzzle: trading volumes and stock return volatility peak after the release of public information. Using a comprehensive data set of institutional holdings and earnings announcements, we find supporting evidence that the proportion of short-term investors is positively associated with post-announcement spikes in trading volume and return volatility. This finding survives in the identification test based on the annual reconstitutions of the Russell 1000 and 2000 indices. We also rule out several alternative explanations related to the constitution of institutional investors, informed trading, and heterogeneous beliefs.