個人簡介：
潘冠中教授yabo亚博app，上海財經大學金融學博士，華盛頓州立大學金融學博士候選人，云南財經大學金融學院教授yabo亚博app，研究方向是Empirical Asset Pricing, Asset Pricing Theory under Asymmetric Information, and Derivatives Pricingyabo亚博app，論文發表于Journal of Mathematical Finance,?Advances in Investment Analysis and Portfolio Management?等學術期刊。
講座內容：
We propose a model of pre-scheduled announcement with heterogeneous informed traders to examine the determinants of trading volume and pre-announcement premium. Using VIX as a proxy of information uncertainty, we show that changes of VIX during the pre-announcement period have a significant explanatory power of pre-announcement premium. On the other hand, abnormal trading volume has a negative effect on the magnitude of pre-announcement premium. Further decomposing trading activities into informed trading and liquidity shocks, large negative liquidity shocks during the pre-announcement period are also responsible for large excess returns.