时 间：2017年11月29日（周四）下午14：00-16：00
地 点：浙江大学紫金港校区行政楼702会议室
主讲人：Frank Zhang教授，耶鲁大学
主持人：邵帅讲师，浙江大学管理学院
摘 要：
Consistent 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.
主讲人简介：
Frank Zhang is a professor of Yale University. His research focuses on empirical capital market researches, including stock anomalies, fundamental analysis, investor and analyst behavior, management incentives, and corporate financial reporting. He has published about 20 papers in leading accounting and finance journals, such as The Accounting Review, Journal of Accounting Research, Review of Accounting Studies, Journal of Finance, and Review of Financial Studies. He is currently a member of the FARS Steering Boad and an Associate Editor of Management Science. He has a PhD from the University of Chicago.
