复旦大学财务金融系系列讲座之163期
发表时间:2015-04-02 15:58 作者:复旦总裁研修班 来源:复旦大学研修班 阅读量:
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复旦大学财务金融系系列讲座之163期
时间：2015年3月31日（周二）10:00
地点：史带楼303室
主持人：Dr. Fan YU Department of Finance, School of Management, Fudan University
主题：The Macroeconomic-Announcement-Day Effect over Business Cycles
演讲者：Prof. Chu ZHANG Professor of Finance, Hong Kong University of Science and Technology
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
