4月15日财务金融系系列讲座之142期

时间：2014年4月15日（周二）13:30　　　　　　　

地点：史带楼303室

主持人：Dr. Yan Luo　 Department of Finance, School of Management, Fudan University　

主题：Abnormal Idiosyncratic Volatility and Expected Returns

演讲者：Prof. Chu Zhang Professor of Finance, The Hong Kong University of Science and Technology

摘要: Using the difference in idiosyncratic volatility between pre-earnings-announcement and non-earnings-announcement periods, we define abnormal idiosyncratic volatility, AIV, as an information risk measure to capture information asymmetry suffered by uninformed investors to trade with informed or skillful investors. We show that AIV is positively associated with both abnormal insider trading and short selling during earnings announcements, while AIV is weakly related to other conventional measures of information risk, such as earnings surprises, the probability of informed trading, analyst coverage, etc., and it is more dynamic than the other conventional measures. Most importantly, our findings show that stocks with high AIV earn both economically and statistically larger future returns than stocks with low AIV, thereby supporting the notion that information risk is priced.