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【金融系学术讲座】Pre-Announcement Premium
日期: 2018-12-18


潘冠中教授,上海财经大学金融学博士,华盛顿州立大学金融学博士候选人,云南财经大学金融学院教授,研究方向是Empirical Asset Pricing, Asset Pricing Theory under Asymmetric Information, and Derivatives Pricing,论文发表于Journal of Mathematical Finance,?Advances in Investment Analysis and Portfolio Management?等学术期刊。


We propose a model of pre-scheduled announcement with heterogeneous informed traders to examine the determinants of trading volume and pre-announcement premium. Using VIX as a proxy of information uncertainty, we show that changes of VIX during the pre-announcement period have a significant explanatory power of pre-announcement premium. On the other hand, abnormal trading volume has a negative effect on the magnitude of pre-announcement premium. Further decomposing trading activities into informed trading and liquidity shocks, large negative liquidity shocks during the pre-announcement period are also responsible for large excess returns.