题目: Do Prices underreact to Information? Ananalysis of Returns Predictability Using the Price Impact of Investors Trade
演讲者：Dr. Fei Wu， Professor of Finance，School of Finance and Statistics，Jiangxi University of Finance and Economics
时间: 2010年11月19日（星期五）3:00—4:30PM
地点: 嘉庚二501
参加者: 对财务研究有兴趣的广大师生
主持人： 沈哲老师
论文简介：
Asymmetric information models posit that the trading process conveys private information about a security‘s true value.A security prices adjusting too slowly to the information will result in predictable patterns in returns.Using a trades impact on price to measure its information content,this paper documents that the aggregate price impact differential(PID) between buying trades and selling trades contains value-relevant information,which is related to cross-sectional variations in short-horizon future returns. The effect is not due to the existence of short-run liquidity costs and variations in rational risk premia. Further analysis shows that PID adds value to predicting future returns beyond the extent to which investors order flows could do,and that the PID of hypothetically informed investors predicts (leads) that of hypothetically uninformed investors. The findings suggest that stock prices underreact to information conveyed by investors trades,and that Hong and Steins(1999) gradual-information-diffusion theory seems the most likely explanation for the price underreaction.
论文作者简介：
Dr. Wu is a Professor of Finance at School of Finance and Statistics and an associate director for the Centre for Research in Asia-pacific Capital Market (CRACM), Jiangxi University of Finance and Economics, China. Before joining JXUFE in 2010, he was on the faculty of the College of Business at Massey University, New Zealand. He received his Ph.D. in Finance from National University of Ireland, Dublin, in 2004. Dr. Wu’s research focuses on the areas of behavioral finance, market microstructure and international financial markets. He has published extensively in leading financial journals, including Financial Management, Journal of Banking and Finance, Journal of Empirical Finance, Journal of Financial Markets, Journal of Portfolio Management, Pacific Basin Finance Journal. His research has also been featured in the practitioner press, namely Plansponsor Magazine, CFA Digest, and Radio New Zealand. He has acted as an ad hoc referee for reputable financial journals worldwide such as Management Science, and Journal of Banking and Finance, and Research Grants Council (RGC) of Hong Kong. He is currently on the editorial board of the International Journal of Managerial Finance.
下载：price_impact.pdf