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讲座预告 | Information environment, systematic volatility and stock return synchronicity 信息环境,系统性风险与股价联动性

发布时间:2018-09-25    来源:








Jing Wang obtains her Ph.D. from School of Accounting and Finance at Hong Kong Polytechnic University and works as a Research Associate currently. Her research interests include capital markets research in accounting, financial reporting and corporate finance. Her research has been under reviewed at top-tier journal and reported by CFA institute. Several of her projects are supported by General Research Fund (GRF) in Hong Kong.




Systematic volatility decreases when the general information environment improves. We theoretically demonstrate that if investors can learn firms’ future performances based on all of the noisy signals, systematic volatility would substantially decrease, even when incremental information for each firm is modest. Using China’s data, we empirically find that systematic volatility is lower in the earnings season, when information disclosure intensity dramatically increases, and this pattern is more pronounced for portfolios with small size and low book-to-market firms. Finally, we demonstrate that stock return synchronicity is also lower in the earnings season, which has important implications for the R-squared puzzle.

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