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Conference Paper: Announcements, Expectations and Stock Returns with Asymmetric Information
Title | Announcements, Expectations and Stock Returns with Asymmetric Information |
---|---|
Authors | |
Issue Date | 2020 |
Publisher | Western Finance Association. |
Citation | 55th Annual Conference of the Western Finance Association (WFA), Virtual Conference, 19-22 June 2020 How to Cite? |
Abstract | Revisions of consensus forecasts of macroeconomic variables positively predict announcement day forecast errors, whereas stock market returns on forecast revision days negatively predict announcement day returns. A dynamic noisy rational expectations model with periodic macroeconomic announcements quantitatively accounts for these findings. Under asymmetric information, average beliefs are not Bayesian: they underweight new information and positively predict subsequent belief errors. In addition, stock prices are partly driven by noise, and therefore negatively predict returns on announcement days when noise is revealed and the market corrects
itself. |
Persistent Identifier | http://hdl.handle.net/10722/291068 |
DC Field | Value | Language |
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dc.contributor.author | Han, J | - |
dc.date.accessioned | 2020-11-02T05:51:06Z | - |
dc.date.available | 2020-11-02T05:51:06Z | - |
dc.date.issued | 2020 | - |
dc.identifier.citation | 55th Annual Conference of the Western Finance Association (WFA), Virtual Conference, 19-22 June 2020 | - |
dc.identifier.uri | http://hdl.handle.net/10722/291068 | - |
dc.description.abstract | Revisions of consensus forecasts of macroeconomic variables positively predict announcement day forecast errors, whereas stock market returns on forecast revision days negatively predict announcement day returns. A dynamic noisy rational expectations model with periodic macroeconomic announcements quantitatively accounts for these findings. Under asymmetric information, average beliefs are not Bayesian: they underweight new information and positively predict subsequent belief errors. In addition, stock prices are partly driven by noise, and therefore negatively predict returns on announcement days when noise is revealed and the market corrects itself. | - |
dc.language | eng | - |
dc.publisher | Western Finance Association. | - |
dc.relation.ispartof | 55th Annual Conference of the Western Finance Association (WFA) | - |
dc.title | Announcements, Expectations and Stock Returns with Asymmetric Information | - |
dc.type | Conference_Paper | - |
dc.identifier.hkuros | 317652 | - |