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Enterprise College PhD Seminar: Data Depth and Pricing of Earnings Announcement Danger by Dr. Jingjing Chen | Occasions | Calendar | Information


December 12, 2022 (Monday)



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Data Depth and Pricing of Earnings Announcement Danger


Earnings bulletins current a transparent threat to traders. We conjecture that in a market with frictions, the premium of earnings announcement threat is probably going realized in a discrete course of and targeting durations with excessive depth of cash-flow information. When there may be replace of cash-flow information and alter in cash-flow uncertainty, traders modify expectation of inventory returns and incorporate the premium into inventory costs. We assemble an ex ante measure of anticipated data depth (EII) primarily based on anticipated company occasions and discover that when corporations have excessive EII, there’s a considerably optimistic relation between earnings announcement threat and inventory returns. A possible technique of lengthy (quick) shares with excessive (low) earnings announcement threat yields a month-to-month 0.58% (annualized 6.96%) return in Fama-French five-factor alpha. Moreover, we present that in keeping with our conjecture, the premium is earned largely across the date of company bulletins. We offer further proof that data manufacturing and consumption set off the pricing of threat.

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Dr. Jingjing Chen

Jingjing Chen is a visiting assistant professor at Northeastern College. She acquired her Ph.D. in Finance from Washington State College. Her analysis pursuits are empirical asset pricing, sustainable investing, market microstructure, and derivatives. Jingjing’s analysis research how data is integrated into asset costs, and what drives asset returns within the quick time period (liquidity, consideration) and the long run (money flows, regulation, ESG preferences). She has a publication at Journal of Banking and Finance and some working papers. 

Jingjing teaches undergraduate, graduate and MBA programs. Her educating pursuits embrace investments, company finance, monetary modeling, quantitative portfolio administration, FinTech, quantitative

finance, and information analytics. In 2021, Jingjing acquired Excellent Doctoral Scholar Educating Award.





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