Topic: Uncertainty Resolution Before Earnings Announcements
Speaker: Grace Xing Hu, PBC School of Finance, Tsinghua University
Time: Wednesday, 9 December,10:00-11:30 AM Beijing Time
Location: Room 217, Guanghua Building 2
We show that 71% of the earnings announcement premium takes place before, rather than after, earning releases. We attribute this pattern to uncertainty resolution before earnings announcement, and provide compelling evidence that high uncertainty stocks experience more uncertainty resolution and therefore have larger pre-announcement return before earnings releases. This effect is stronger when the aggregate market uncertainty is high and when earnings announcements carry more systematic uncertainty. Both the systematic and idiosyncratic components of a firm’s uncertainty can predict its pre-announcement return. Uncertainty resolution could happen via two distinct channels: information acquisition by investors and information supply by analysts.
Grace Xing Hu is currently an associate professor at PBC School of Finance, Tsinghua University. Prior to joining PBC School of Finance, she was an assistant professor in Finance at the University of Hong Kong between 2011 and 2019. Grace received her Ph.D. in Economics from Princeton in 2011. She also holds a B.S. in Computer Science from the University of Science and Technology of China, and a M.S. from Northwestern University.
Grace’s research focus is on empirical asset pricing, in particular, liquidity, credit risk, and financial crises. Her work has been published in leading academic journals, such as Journal of Finance, Journal of Financial Economics, Journal of Financial and Quantitative Analysis, and International Review of Finance.
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