Organization University PhD Seminar: Facts Depth and Pricing of Earnings Announcement Hazard by Dr. Jingjing Chen | Situations | Calendar | News

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December 12, 2022 (Monday)



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Info Depth and Pricing of Earnings Announcement Hazard


Earnings bulletins present a apparent chance to investors. We conjecture that in a market place with frictions, the high quality of earnings announcement possibility is possible recognized in a discrete approach and concentrated on intervals with superior depth of dollars-stream news. When there is update of money-stream news and improve in money-circulation uncertainty, investors change expectation of inventory returns and incorporate the top quality into stock rates. We build an ex ante evaluate of anticipated data depth (EII) primarily based on anticipated company occasions and locate that when companies have substantial EII, there is a significantly good relation between earnings announcement danger and stock returns. A feasible system of very long (shorter) stocks with substantial (low) earnings announcement hazard yields a every month .58% (annualized 6.96%) return in Fama-French 5-element alpha. Additionally, we display that consistent with our conjecture, the quality is gained largely all over the date of corporate bulletins. We offer extra evidence that data creation and use bring about the pricing of risk.

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Dr. Jingjing Chen

Jingjing Chen is a viewing assistant professor at Northeastern University. She been given her Ph.D. in Finance from Washington State College. Her research pursuits are empirical asset pricing, sustainable investing, market microstructure, and derivatives. Jingjing’s study scientific studies how information is included into asset selling prices, and what drives asset returns in the short term (liquidity, consideration) and the long phrase (income flows, regulation, ESG tastes). She has a publication at Journal of Banking and Finance and a several working papers. 

Jingjing teaches undergraduate, graduate and MBA classes. Her teaching interests include investments, company finance, money modeling, quantitative portfolio management, FinTech, quantitative

finance, and knowledge analytics. In 2021, Jingjing gained Remarkable Doctoral University student Training Award.

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