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Information Transmission and Investor Reactions -- Essays on Empirical Asset Pricing.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Information Transmission and Investor Reactions -- Essays on Empirical Asset Pricing./
作者:	Chen, Jingjing.
出版者:	Ann Arbor : ProQuest Dissertations & Theses, : 2021,
面頁冊數:	121 p.
附註:	Source: Dissertations Abstracts International, Volume: 83-03, Section: B.
Contained By:	Dissertations Abstracts International83-03B.
標題:	Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=28410211
ISBN:	9798538115297

Information Transmission and Investor Reactions -- Essays on Empirical Asset Pricing.
Chen, Jingjing.

Information Transmission and Investor Reactions -- Essays on Empirical Asset Pricing. - Ann Arbor : ProQuest Dissertations & Theses, 2021 - 121 p.

Source: Dissertations Abstracts International, Volume: 83-03, Section: B.

Thesis (Ph.D.)--Washington State University, 2021.

This item must not be sold to any third party vendors.

This dissertation consists of two essays that study the effects of information transmission on asset pricing under dynamic settings. My first essay studies the pricing of earnings announcement risk. Earnings announcements present a clear risk to investors and, under rational asset pricing theory, such risk should be consistently priced in stocks. However, I find that stocks with high earnings announcement risk earn significantly higher returns only during months when firms have earnings or M&A announcements. Moreover, the higher returns are realized mostly around the date of announcements. The findings seem to suggest that the risk premium is accrued concurrently when investors adjust stock valuation in response to significant information events. I provide additional evidence to substantiate the conjecture based on the effects of information updates and investor information consumption.My second essay investigates market excess returns around scheduled macroeconomic news announcements. Prior literature documents significantly positive market excess returns implied from CAPM (i.e., the coefficient of market beta) and significantly positive realized market excess returns on scheduled macroeconomic announcement days. In this study, I find that market excess return swings from negative on the day before, to positive on the day of, and negative again on the day after announcements. The average market excess returns, both implied and realized, over the three-day announcement window are insignificant. I show that market excess returns around macroeconomic announcements are primarily driven by a mood swing, i.e., changes of investor appetite toward risk. Specifically, investors become highly risk-averse prior to announcement but are much less so on the announcement day. I also show that uncertainty resolution at best partially accounts for the swing of market excess returns.

ISBN: 9798538115297Subjects--Topical Terms:

542899
Finance.
Subjects--Index Terms:

Accrual of risk premium

Information Transmission and Investor Reactions -- Essays on Empirical Asset Pricing.
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245 1 0 $a Information Transmission and Investor Reactions -- Essays on Empirical Asset Pricing.
260 1 $a Ann Arbor : $b ProQuest Dissertations & Theses, $c 2021
300 $a 121 p.
500 $a Source: Dissertations Abstracts International, Volume: 83-03, Section: B.
500 $a Advisor: Jiang, George J.
502 $a Thesis (Ph.D.)--Washington State University, 2021.
506 $a This item must not be sold to any third party vendors.
520 $a This dissertation consists of two essays that study the effects of information transmission on asset pricing under dynamic settings. My first essay studies the pricing of earnings announcement risk. Earnings announcements present a clear risk to investors and, under rational asset pricing theory, such risk should be consistently priced in stocks. However, I find that stocks with high earnings announcement risk earn significantly higher returns only during months when firms have earnings or M&A announcements. Moreover, the higher returns are realized mostly around the date of announcements. The findings seem to suggest that the risk premium is accrued concurrently when investors adjust stock valuation in response to significant information events. I provide additional evidence to substantiate the conjecture based on the effects of information updates and investor information consumption.My second essay investigates market excess returns around scheduled macroeconomic news announcements. Prior literature documents significantly positive market excess returns implied from CAPM (i.e., the coefficient of market beta) and significantly positive realized market excess returns on scheduled macroeconomic announcement days. In this study, I find that market excess return swings from negative on the day before, to positive on the day of, and negative again on the day after announcements. The average market excess returns, both implied and realized, over the three-day announcement window are insignificant. I show that market excess returns around macroeconomic announcements are primarily driven by a mood swing, i.e., changes of investor appetite toward risk. Specifically, investors become highly risk-averse prior to announcement but are much less so on the announcement day. I also show that uncertainty resolution at best partially accounts for the swing of market excess returns.
590 $a School code: 0251.
650 4 $a Finance. $3 542899
650 4 $a Standard deviation. $3 3560390
650 4 $a Regression analysis. $3 529831
650 4 $a Estimates. $3 3561047
650 4 $a Prices. $3 652651
650 4 $a Growth rate. $3 3562870
650 4 $a Communication. $3 524709
650 4 $a Behavioral sciences. $3 529833
653 $a Accrual of risk premium
653 $a Information consumption
653 $a Information events
653 $a Macroeconomic announcements
653 $a Risk
653 $a Risk aversion
690 $a 0508
690 $a 0602
690 $a 0501
690 $a 0454
690 $a 0459
710 2 $a Washington State University. $b Carson College of Business. $3 3680655
773 0 $t Dissertations Abstracts International $g 83-03B.
790 $a 0251
791 $a Ph.D.
792 $a 2021
793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=28410211