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德勤-复旦会计论坛系列讲座之一百三十六

 

时间:2017年12月4日(周一)下午13:30

地点:史带楼604室

主持人: 张新 副教授

SpeakerFrank Zhang   (Yale University)

TitleOff-exchange trading and post earnings announcement drift

AbstractConsistent with arbitrage costs limiting the ability of arbitrageurs to fully correct mispricing of public signals, observed mispricing increases with proxies for different arbitrage costs. We propose a new proxy—off-exchange trading levels (OFFEXCH)—based on microstructure theory (e.g., Easley, et al. 1996) which suggests higher levels of off-exchange trading are associated with higher levels of informed on-exchange trading, which lead to higher costs for arbitrage trades (e.g., higher price impact). To investigate this possibility, we examine the relation between OFFEXCH and a well-known pricing anomaly: predictable price drifts after publicly reported earnings. We find that OFFEXCH explains incremental variation in drifts beyond that explained by arbitrage cost proxies considered previously. That ability to explain drifts is both economically and statistically significant.

 

会计学系

2017-12-1

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