时间：4月2日（星期四）下午3:00

地点： 同济大厦A楼408室

讲座主题：The Macroeconomic-Announcement-Day Effect over Business Cycles

摘要：We propose a learning-based model of the macroeconomic-announcement-day effect that the average daily excess return on the US stock index is positive on the announcement days of unemployment rate, inflation rate and Fed’s interest rate decisions, while indistinguishable from zero on non-announcement days, documented in the literature.  The model implies that the positive average stock return is a result of reduction in uncertainty through learning and that the learning effect depends on information quality.  We provide supportive empirical evidence that there are significant declines on announcement days in the VIX index, known as investors’ fear gauge. The phenomenon is more pronounced during economic expansions, when information quality is high, than during recessions, when information quality is poor.

主讲人：张楚，香港科技大学教授。点击下载此文件